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Consider a single-index model. The index portfolio is M. There are 80 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 80 individual risky securities on the market. (1) Calculate the total number of parameters to implement the singlex model (2) M=0.15. The index model has been estimated for stock A with the following results: RA=0.01+0.9RM+eA.(eA)=0.12. 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. Consider a single-index model. The index portfolio is M. There are 80 individual risky securities on the market. (1) Calculate the total number of parameters to implement the singlex model (2) M=0.15. The index model has been estimated for stock A with the following results: RA=0.01+0.9RM+eA.(eA)=0.12. 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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