Single-index model

Related: market model

Financial and business terms. 2012.

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  • Single-index model — The single index model (SIM) is an asset pricing model commonly used in the finance industry to measure risk and return of a stock. Mathematically the SIM is expressed as:: rit rf = ai + Bi(rmt rf) + Eit ,: R i = alpha i + eta iR m,where:: rit − …   Wikipedia

  • single-index model — A model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors . Related: market model …   Financial and business terms

  • Single index model — A model of stock returns that decomposes influences on returns into a systematic factor, as measured by the return on the broad market index, and firm specific factors. The New York Times Financial Glossary …   Financial and business terms

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