| Autor: |
Herbert E. Phillips, Jerry A. Hammer |
| Rok vydání: |
1992 |
| Předmět: |
|
| Zdroj: |
International Review of Financial Analysis. 1:39-50 |
| ISSN: |
1057-5219 |
| DOI: |
10.1016/1057-5219(92)90013-t |
| Popis: |
The purpose of the single-index model is to obtain solutions to the general portfolio selection problem which are equivalent to those obtained by the full variance-covariance portfolio selection model, but to do so at lower cost. The model's computational advantage hinges on the assumption that the error terms are cross-sectionally independent. Although it is generally understood that this assumption is not strictly correct, the implications have never been demonstrated. This paper shows that the single-index model's distributional assumption is substantially violated in sample applications, and that the model's solutions are markedly different from those produced by the full variance-covariance model as a direct result. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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