Sharpe's Single Index Model

Name: Sharpe's Single Index Model (English version)
SKU: W34642

Chetan G K

Product #:W34642

Supplier:Ivey

Discipline:Finance

Setting:India, 2001

Details:Exercise (PDF) • 9 pages • 2023-12-08

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A recent Master of Business Administration graduate from a renowned business school in India secured a position with a top rated asset management company. On the first day, his manager asks him to construct a portfolio using William Sharpe's single index model (SIM). To construct his model portfolio, he reviews the Bloomberg terminal for the data set. This exercise provides a step-by-step review of his analysis to construct a portfolio through SIM.

Learning Objectives

This exercise provides students with an opportunity to understand and construct the optimum portfolio according to the Sharpe's single index model (SIM) using an MS-Excel spreadsheet. After completing the exercise, students will be able to do the following:

Understand the Sharpe’s SIM when a short sale of stocks is not allowed for constructing the portfolio.
Understand the Sharpe’s SIM when a short sale of stocks is allowed for constructing the portfolio.

Sharpe's Single Index Model

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Learning Objectives