投资学课后习题答案Chap008.pdfVIP

CHAPTER 8: INDEX MODELS CHAPTER 8: INDEX MODELS PROBLEM SETS 1. The advantage of the ndex model, compared to the Markow tz procedure, s the vastly reduced number of est mates requ red. In add t on, the large number of est mates requ red for the Markow tz procedure can result n large aggregate est mat on errors when mplement ng the procedure. The d sadvantage of the ndex model ar ses from the model’s assumpt on that return res duals are uncorrelated. Th s assumpt on w ll