understand the meaning of beta prepare an alpha table and understand the nature of the alpha value explain the problems with CAPM briefly explain the arbitrage pricing model (APM) calculate the portfolio risk of a multi-asset portfolio when there is no correlation b...
If you are trying to duplicate an expected return that's greater than that of the asset class, you have to hold "negative" cash, meaning you have to buy the index on margin. This is consistent with the big message of MPT - that trying to beat the index is inherently risky). ...