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What is Sharpe Single Index Model Overview about?

This presentation discusses the Sharpe single index model. The single index model expresses the return on each security as a function of the return on a broad market index. It assumes the error term has an expected value of zero, is not correlated with market returns, and error terms between securities are not correlated. The single index model helps generate the expected returns, variances, and covariances needed as inputs for the Markowitz portfolio optimization model.

Author

Shivani Nagpal

Language

EN