Chapter 21 TRP Ratio and the Black-Litterman Portfolio Optimisation Method

摘要

In their recent research Munda and Strasek [1,2] observed characteristics of the "Target-to-Real-Price" ratio (TRP ratio) using 5-year timeline of 30 individual stocks across the Europe (developed and developing markets). They concluded that individual stocks have their unique mean-reverted values of the ratio between the stock's 6-months consensus target price from Bloomberg and the respective spot price.