The model of W.F. Sharpe and the model of the global regression utilized for the portfolio selection
Journal Title: Revista Romana de Statistica - Year 2014, Vol 62, Issue 7
Abstract
This method is to be found out in the economic theory as beta method. This method is largely utilized for studying the risk of equities. In the frame of this method, the risk is identified through the fluctuation of their yield. Thus, the higher the fluctuation degree of the portfolio yield is, its risk is higher. We shall note by Rt the total yield of an equity at a given moment, and by ∆it the fluctuation of the index from one period to another. This is an element of the Sharpe regression model.
Authors and Affiliations
Constantin ANGHELACHE, Mădălina Gabriela ANGHEL
Keywords
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