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Index Models Chapter 8 Bodi Kane Marcus Ch 5.

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Presentation on theme: "Index Models Chapter 8 Bodi Kane Marcus Ch 5."— Presentation transcript:

1 Index Models Chapter 8 Bodi Kane Marcus Ch 5

2 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

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

4 Bodi Kane Marcus Ch 5

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

6 Bodi Kane Marcus Ch 5

7 Bodi Kane Marcus Ch 5 Life Expentancy


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