The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
📌 3 Key Takeaways
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Objective & Hypothesis:In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required.
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Key Findings & Data:However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model.
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Conclusion & Impact:The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Portföy yönetimi · Yatırım analizi · Matematiksel modeller
Özet
In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required. However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model. The single index model assumes that the return of any stock could be related to the return of the market. The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
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