For those of you studying using Schweser material - watch out Schweser notes does a horrible job explaining the treynor-black model. In particular, their description of the optimal mix between the actively managed portfolio and the passive portfolio is really weak… Mike
side note - do we need to know the formulas for picking securities under treynor black?
I would think you definitiely need to know how to determine the weights of each security in the actively managed portfolio, as well as the optimal weights of the actively managed portfolio and the passive portfolio in the market portfolio. hope this answers your question. Mike