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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM

MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM. Advantages of the Single Index Model. Reduces the number of inputs for diversification. Easier for security analysts to specialize. Single Factor Model. r i = E(R i ) + ß i F + e

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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM

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  1. MANAJEMEN INVESTASI DAN PORTOFOLIOLecture 4b: CAPM MIP/MB-IPB/08

  2. Advantages of the Single Index Model • Reduces the number of inputs for diversification. • Easier for security analysts to specialize. MIP/MB-IPB/08

  3. Single Factor Model • ri = E(Ri) + ßiF + e • ßi = index of a securities’ particular return to the factor • F= some macro factor; in this case F is unanticipated movement; F is commonly related to security returns • Assumption: a broad market index like the S&P500 is the common factor. MIP/MB-IPB/08

  4. a (ri - rf)= i + ßi(rm - rf)+ ei Single Index Model Risk Prem Market Risk Prem or Index Risk Prem a = the stock’s expected return if the market’s excess return is zero i (rm - rf)= 0 ßi(rm - rf)= the component of return due to movements in the market index ei = firm specific component, not due to market movements MIP/MB-IPB/08

  5. Untukmelihat file lengkapnyasilahkanmenghubungikamidiwww.mb.ipb.ac.id

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