IndexModels文件材料教学稿件.ppt

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 8 Index Models Reduces the number of inputs for diversification Easier for security analysts to specialize Advantages of the Single Index Model Single-Index Model Correlation = product of correlations with the market index Index Model and Diversification Variance of the equally weighted portfolio of firm-specific components: When n gets large, σ2(ep) becomes negligible and firm specific risk is diversified away. Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp Figure 8.2 Excess Returns on HP and SP 500 Figure 8.3 Scatter Diagram of HP, the SP 500, and HP’s Security Characteristic Line (SCL) Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard Table 8.1 Interpretation Correlation of HP with the SP 500 is 0.7238. The model explains about 52% of the variation in HP. HP’s alpha is 0.86% per month(10.32% annually) but it is not statistically significant. HP’s beta is 2.0348, but the 95% confidence interval is 1.43 to 2.53. Single-Index Model Input List Risk premium on the SP 500 portfolio Estimate of the SD of the SP 500 portfolio n sets of estimates of Beta coefficient Stock residual variances Alpha values Optimal Risky Portfolio of the Single-Index Model Maximize the Sharpe ratio Expected return, SD, and Sharpe ratio: Optimal Risky Portfolio of the Single-Index Model Combination of: Active portfolio denoted by A Market-index portfolio, the passive portfolio denoted by M Optimal Risky Portfolio of the Single-Index Model Modification of active portfolio position: When INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin