Smart betas, return models and the tangency portfolio weights.

In this paper, we analytically derive closed-form expressions for the tangency portfolio weights: the fully invested portfolio that maximizes the expected return over the risk-free rate, relative to the volatility of the portfolio return. We explicitly derive this portfolio from a range of underlying return models and show examples where it coincides with different well-known smart beta products. Specifically, we find the closed-form expression for the tangency portfolio weights for a return model with compound symmetric correlation matrix.

How is walking speed related to muscle strength? A study of healthy persons and persons with late effects of polio.

Objectives: To evaluate the relationship between walking speed and muscle strength in the lower extremities in healthy persons and in persons with late effects of polio and to compare the models for these relationships.

Design: Retrospective analysis.

Setting: University hospital department.