Treynor-Black Model

Treynor-Black Model
A type of asset allocation model that was developed by Jack Treynor and Fischer Black. The model tries to determine the optimal combination of passively and actively managed assets in an investment portfolio.When determining the optimal allocation of assets, the model focuses primarily on securities' systematic and unsystematic risk.

If using the Treynor-Black model, an individual can see that the model focuses less on the Beta of a security and more on its unsystematic risk. The more unsystematic risk a security has, the less weight it is given in the Treynor-Black model. As a result of this tendency, the Treynor-Black model is said to favor low-return, low-risk securities over those with higher return and higher risk.


Investment dictionary. . 2012.

Игры ⚽ Поможем написать курсовую

Look at other dictionaries:

  • Jack Treynor — Jack L. Treynor (* 1930) ist ein US amerikanischer Manager. Als Autor wissenschaftlicher Arbeiten trug er zu Entwicklung der Portfoliotheorie und des Capital Asset Pricing Models bei. Werdegang, Forschung und Lehre Treynor studierte zunächst… …   Deutsch Wikipedia

  • Jack L. Treynor — is the President of Treynor Capital Management, Palos Verdes Estates, CA. He is a Senior Editor and Advisory Board member of the Journal of Investment Management, and is a Senior Fellow of the Institute for Quantitative Research in Finance. He… …   Wikipedia

  • Capital asset pricing model — In finance, the Capital Asset Pricing Model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset, if that asset is to be added to an already well diversified portfolio, given that asset s non diversifiable… …   Wikipedia

  • Capital Asset Pricing Model — Saltar a navegación, búsqueda El Capital Asset Pricing Model, o CAPM (trad. lit. Modelo de Fijación de precios de activos de capital) es un modelo frecuentemente utilizado en la economía financiera. El modelo es utilizado para determinar la tasa… …   Wikipedia Español

  • Mathematical finance — is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will… …   Wikipedia

  • Modèle d'évaluation des actifs financiers — Pour les articles homonymes, voir CAPM. Le modèle d évaluation des actifs financiers (MEDAF), traduction approximative[1] de l anglais Capital Asset Pricing Model (CAPM) fournit une estimation du taux de rendement attendu par le marché pour un… …   Wikipédia en Français

  • Modern portfolio theory — Portfolio analysis redirects here. For theorems about the mean variance efficient frontier, see Mutual fund separation theorem. For non mean variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) …   Wikipedia

  • Stock market — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • New York Stock Exchange — This article is about the stock exchange. For its parent company, see NYSE Euronext. New York Stock Exchange …   Wikipedia

  • Stock — For capital stock in the sense of the fixed input of a production function, see Physical capital. For other uses, see Stock (disambiguation). Financial markets Public market Exchange Securities …   Wikipedia

Share the article and excerpts

Direct link
… Do a right-click on the link above
and select “Copy Link”