Index Models Chapter 8 Bodi Kane Marcus Ch 5.

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Presentation transcript:

Index Models Chapter 8 Bodi Kane Marcus Ch 5

The Input List of The Markowitz Model Bodi Kane Marcus Ch 5 The Input List of The Markowitz Model n = 50 estimates of expected return 50 estimates of variance (n2- N)/2 1,225 estimates of covariances 1,325 Total estimates

Standard Deviation (%) Bodi Kane Marcus Ch 5 Correlation Matrix Asset Standard Deviation (%) Correlation Matrix A B C 20 1.00 0.90 0.00

Bodi Kane Marcus Ch 5

Excess Return PGAS, ISAT, INDF,IHSG Bulan Mei-Juni 2010 Bodi Kane Marcus Ch 5 Saham BETA PGAS -0.44 ISAT 0.013 INDF 0.034 Excess Return PGAS, ISAT, INDF,IHSG Bulan Mei-Juni 2010

Bodi Kane Marcus Ch 5

Bodi Kane Marcus Ch 5 Life Expentancy