Time Series

Expected Risk

Expected Returns

Optimization

Simulation

Exposure to Loss

Risk Budgets

Factor Analysis

Cash Flow Analysis

Implied Returns

A reverse-optimization expected return model

Given a set of portfolio weights and a covariance matrix there is a set of expected returns, we term “implied returns,” which deem the portfolio weights optimal.

This can help investors understand the implicit assumptions of maintaining their current portfolio weights.

An investor may choose to re-balance their portfolio if the implied returns are substantially different from the asset returns that could be realistically expected in the forthcoming period.

Last modified 2yr ago

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