Question
Consider a single-index model. The index portfolio is M. There are 30 individual risky securities on the market. (1) Calculate the total number of parameters
Consider a single-index model. The index portfolio is M. There are 30 individual risky securities on the market.
(1) Calculate the total number of parameters to implement the single-index model.
(2) M = 0.18. The index model has been estimated for stock A with the following results: RA = -0.01 + 1.3RM + eA. (eA) = 0.16. Calculate the standard deviation of the return for stock A.
(3) Following (2), calculate the percentage of systematic risk in the total risk for stock A.
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Personal Finance QuickStart Guide
Authors: Morgen Rochard
1st Edition
1945051019, 978-1945051012
