About: Single-index model

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The single-index model (SIM) is a simple asset pricing model to measure both the risk and the return of a stock. The model has been developed by William Sharpe in 1963 and is commonly used in the finance industry. Mathematically the SIM is expressed as: where:

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rdfs:label	Single-Index-Modell (de) Single-index model (en)
rdfs:comment	Das Single-Index-Modell (kurz: SIM, auch Ein-Index-Modell) ist eine Theorie der optimalen Portfolioauswahl.Ziel des Single-Index-Modells ist die Vereinfachung hin zu nur einem Einflussfaktor. Damit soll ein strukturelles Gebilde geschaffen werden, das die Renditen rein statistisch erklärt. Es handelt sich um eine Art Regressionszusammenhang. Im SIM müssen weniger Parameter als im vollen Markowitz-Modell geschätzt werden. (de) The single-index model (SIM) is a simple asset pricing model to measure both the risk and the return of a stock. The model has been developed by William Sharpe in 1963 and is commonly used in the finance industry. Mathematically the SIM is expressed as: where: (en)
dcterms:subject	Financial models Financial economics
Wikipage page ID	6972600 (xsd:integer)
Wikipage revision ID	1093219683 (xsd:integer)
Link from a Wikipage to another Wikipage	All Ordinaries Arbitrage pricing theory Systematic risk S&P 500 Financial models William F. Sharpe Alpha (investment) Capital asset pricing model Financial economics Asset pricing Finance Stock market index Risk factor (finance) Multiple factor models Capital stock
Link from a Wikipage to an external page	https://www.economicsdiscussion.net/portfolio-management/theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-economics/29763
sameAs	Single-index model Single-index model Single-index model Single-index model Single-index model Single-index model
dbp:wikiPageUsesTemplate	dbt:! dbt:About dbt:Cite_book dbt:Cite_journal dbt:Cite_web
has abstract	Das Single-Index-Modell (kurz: SIM, auch Ein-Index-Modell) ist eine Theorie der optimalen Portfolioauswahl.Ziel des Single-Index-Modells ist die Vereinfachung hin zu nur einem Einflussfaktor. Damit soll ein strukturelles Gebilde geschaffen werden, das die Renditen rein statistisch erklärt. Es handelt sich um eine Art Regressionszusammenhang. Im SIM müssen weniger Parameter als im vollen Markowitz-Modell geschätzt werden. (de) The single-index model (SIM) is a simple asset pricing model to measure both the risk and the return of a stock. The model has been developed by William Sharpe in 1963 and is commonly used in the finance industry. Mathematically the SIM is expressed as: where: rit is return to stock i in period trf is the risk free rate (i.e. the interest rate on treasury bills)rmt is the return to the market portfolio in period t is the stock's alpha, or abnormal return is the stock's beta, or responsiveness to the market returnNote that is called the excess return on the stock, the excess return on the market are the residual (random) returns, which are assumed independent normally distributed with mean zero and standard deviation These equations show that the stock return is influenced by the market (beta), has a firm specific expected value (alpha) and firm-specific unexpected component (residual). Each stock's performance is in relation to the performance of a market index (such as the All Ordinaries). Security analysts often use the SIM for such functions as computing stock betas, evaluating stock selection skills, and conducting event studies. (en)
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foaf:isPrimaryTopicOf	wikipedia-en:Single-index_model
is Link from a Wikipage to another Wikipage of	Estimation of covariance matrices Treynor–Black model Price discovery Alpha (finance) Financial economics Outline of finance Asset pricing Valuation (finance) Returns-based style analysis Single-index Single-index modelling Single-index models Single-indexes Single Index Model Single index Single index model Single index modelling Single index models Single indexes Singleindex Singleindex modelling Singleindex models Singleindexes
is Wikipage redirect of	Single-index Single-index modelling Single-index models Single-indexes Single Index Model Single index Single index model Single index modelling Single index models Single indexes Singleindex Singleindex modelling Singleindex models Singleindexes
is foaf:primaryTopic of	wikipedia-en:Single-index_model

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