By James L Farrell
Read Online or Download The Multi-Index Model and Practical Portfolio Analysis PDF
Similar analysis books
- Pade approximants and their applications Proc Kent
- Isocyanates: Sampling, Analysis, and Health Effects (ASTM Special Technical Publication, 1408)
- Junior problem seminar
- Analysis für Fachoberschulen: Lösungsheft
- Übungsaufgaben zur Analysis Ü 2
Additional resources for The Multi-Index Model and Practical Portfolio Analysis
MOTOROLA 13. POLAROID 14. TEXAS INSTRUMENTS 15. BECTON DICKINSON 16. NATIONAL CASH REG. 17. & FRAG. 19. IBM 20. AVON 21. XEROX 22. EASTMAN KODAK 23. HARCOURT, BRACE 24. PAN AM 25. UAL 26. UNITED AIRCRAFT 27. CHESEBROUGH - PONDS 28. NALCO 29. TRW 30. HONEYWELL 31. 3. 35 ~. 3. [h- 3. 31 ==:=ill, 32. VIRGINrA ELECTRIC 33. AMERICAN ELECTRIC 34. CENTRAL & SOUTHWESlf35. FLORIDA POWER 36. COLUMBIA GAS 37. PROCTER & GAMBLE 38. GENERAL FOODS 39. CHASE MANHATTAN 40. COCA - COLA 41. TRANSAMERICA 42. HOUSEHOLD FINANCE 4S.
The analysis began by assessing the stability over time of the correlation relationships among the four groupings of growth, cyclical, stable, and oil stocks. This stability can be assessed by means of the index procedure used in the previous section to measure the degree to which the four stock groupings showed characteristics of high within-group correlation and low between-group correlation. Previously applied to the 1961-69 period, this procedure involved forming indexes from the stocks within each of the four groups and then correlating individual stocks with each of the four indexes.
Maximum of five percent of any single issue). Second, analysis of the stability of input relationships to the models in the latter part of this section demonstrates that specific return values (Ai values) tend to be highly unstable or not significantly different from zero. Establishing zero as a best estimate of the future value of this input thus avoids this problem of instability as well as circumvents the need to specifically establish constraints on the models. 34 Note that the efficient frontier for the multi-index model is above and to the left of the single-index model frontier over all but extremely high and low risk-return levels.