Single index model formula

Single-index model - Wikipedia

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Single-Index Model

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Single-Index Model for Security Returns

With this equation, only the betas of the individual securities and the market variance need to be estimated to calculate covariance. Hence, the index model greatly reduces the number of calculations that would otherwise have to be made to model a large portfolio of thousands of securities. Contents move to sidebar hide. Article Talk. Read Edit View history.

Single-Index Model for Security Returns

Tools Tools. Download as PDF Printable version. Economic model. This article is about the asset pricing model in economics. For a description of its more general application in semiparametric regression, see Semiparametric regression. Categories : Financial economics Financial models. Hidden categories: Articles with short description Short description matches Wikidata. Toggle limited content width.