投资学 10 Single Index and Multifactor Models教学幻灯片.pptVIP

Single Index and Multifactor Models;The Single-Index Model - Overview;The Single-Index Model - Overview;The Single-Index Model - Introduction ;The Single-Index Model - Introduction;The Single-Index Model - Introduction;The Single-Index Model - Assumptions ;The Single-Index Model - Assumptions;The Single-Index Model - Mean Return of a Security; The Single-Index Model - Variance of a Security;The Single-Index Model - Covariance between Two Assets;The Single-Index Model - Expected Return of a Portfolio;The Single-Index Model - Portfolio Variance;The Single-Index Model - Portfolio Residual Variance ;The Single-Index Model - Portfolio Residual Variance;The Single-Index Model - Portfolio Residual Variance;Comparision of Markowitz Model and SIM Model;Comparision of Markowitz Model and SIM Model ;Reduces the number of inputs for diversification. One of the advantages of the single factor model is the reduction in data that is needed for portfolio analysis. Applying the Markowitz model to a n-security portfolio optimization, we need (n2-n)/2 estimates. While using the single-index security universe, we only need (3n+1) estimates. With just 50 securities, the traditional diversification approach requires over 1300 estimates. The risk premium for an individual security is related to how that security varies with the broad market portfolio. Easier for security analysts to specialize.; ri = E (Ri) + ?i F + e ?i = index of a securities’ particular return to the factor F = some macro factor; in this case F is unanticipated movement; F is commonly related to security returns Assumption: a broad market index like the SP500 is the common factor.;(ri - rf) = i + ?i(rm - rf) + ei ;Let: Ri = (ri - rf);Security Characteristic Line;Jan. Feb. . . Dec Mean Std Dev;Estimated coefficient Std error of estimate Variance of residuals = 12.601 Std dev of residuals = 3.550 R-SQR = 0.575;Market or systematic risk: risk related to the macro economic factor or ma