Extreme Events – Specimen Question
A.6.2(d) – Answer/Hints
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Q. Set out a series of return
and covariance assumptions which results in the same mean-variance asset
allocation as in (c) but without using the Black-Litterman methodology.
This is merely another example of calculation of implied
alpha. It can therefore be achieved by running the optimisation outputs
provided by the answer to A.6.2(c)
through a reverse optimiser.
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