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Single index model continued - PowerPoint PPT Presentation

Asset Management

Asset Management. Lecture Three. Outline for today. Index model Single-factor index model Alpha and security analysis. Drawbacks of Markowitz. The model requires a huge number of estimates E.g. 50 stocks 50 estimates of E(r) 50 estimates of var(r) 1225 estimates of cov(ri, rj)

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Single index model continued - PowerPoint PPT Presentation

Asset Management