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FINANCIAL MARKET COURSES

Portfolio Theory – Single-Index & Multi-Index Models

Single- and multi-index models developed as alternatives to the Markowitz model for calculating the variance (risk) of a portfolio. Beginning with William Sharpe’s diagonal, this course describes single-and multi-index models in detail and provides a comparison of these with the theory of Markowitz.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Calculate the variance of a portfolio using the single-index model

    Recognize how the formulas for calculating portfolio variance differ between single- and multi-index models

    Evaluate the usefulness of single- and multi-index models

  • COURSE OUTLINE

    Topic 1: Single-Index Models

    Sharpe’s Market Model

    Return on a Security

    Estimating Betas

    Macro & Micro Events

    Portfolio Variance

    Topic 2: Multi-Index Models

    Return on a Security

    Portfolio Variance

    Topic 3: An Appraisal of Single-Index and Multi-Index Models

    Single-Index Models

    Multi-Index Models

    Appraisal of Models

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    50 Minutes

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