Portfolio theory-sharpe-index-model 1
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SECURITY ANALYSIS & PORTFOLIO MGT. Sharp Index Modal
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Transcript of Portfolio theory-sharpe-index-model 1
SECURITY ANALYSIS & PORTFOLIO MGT.
Sharp Index Modal
Group Members
1.Arun Jagtap 192.Nikhil Monde 323.Abhishek Rane 394.Sujit Gupta 59
NN σσmm
22 (R (Rii ─ R ─ Rff)β)βii σσeiei
22
i=1i=1 CCii = N = N 1 + σ1 + σmm
22 β βii22
σσeiei22
i =1i =1
Where,σm
2 = Variance of the Market Index
σei2 = Variance of a stock’s movement that is not associated with the movement of Market Index i.e. stock’s unsystematic risk.
EXAMPLE- 1:
SOLUTION OF EXAMPLE- 1:
SOLUTION OF EXAMPLE- 2:
NN σσmm
22 (R (Rii ─ R ─ Rff)β)βii σσeiei
22
i=1i=1CCii = N = N 1 + σ1 + σmm
22 β βii22
σσeiei22
i =1i =1
Thank u…….