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Portfolio theory-sharpe-index-model 1

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Portfolio theory-sharpe-index-model 1

  1. 1. SECURITY ANALYSIS & PORTFOLIO MGT. <ul><li>Sharp Index Modal </li></ul>
  2. 2. <ul><li>Group Members </li></ul><ul><li>Arun Jagtap 19 </li></ul><ul><li>Nikhil Monde 32 </li></ul><ul><li>Abhishek Rane 39 </li></ul><ul><li>Sujit Gupta 59 </li></ul>
  3. 20. <ul><li>N </li></ul><ul><li>σ m 2 (R i ─ R f )β i </li></ul><ul><li>σ ei 2 </li></ul><ul><li>i=1 </li></ul><ul><li>C i = N </li></ul><ul><li>1 + σ m 2 β i 2 </li></ul><ul><li>σ ei 2 </li></ul><ul><li> i =1 </li></ul>
  4. 21. <ul><li>Where, </li></ul><ul><li>σ m 2 = Variance of the Market Index </li></ul><ul><li>σ ei 2 = Variance of a stock’s movement that is not associated with the movement of Market Index i.e. stock’s unsystematic risk. </li></ul>
  5. 22. EXAMPLE- 1:
  6. 23. <ul><li>SOLUTION OF EXAMPLE- 1: </li></ul>
  7. 29. <ul><li>SOLUTION OF EXAMPLE- 2: </li></ul>
  8. 32. <ul><li>N </li></ul><ul><li>σ m 2 (R i ─ R f )β i </li></ul><ul><li>σ ei 2 </li></ul><ul><li>i=1 </li></ul><ul><li>C i = N </li></ul><ul><li>1 + σ m 2 β i 2 </li></ul><ul><li>σ ei 2 </li></ul><ul><li> i =1 </li></ul>
  9. 36. <ul><li>Thank u……. </li></ul>

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