Bridge over ocean
1 January 1976 Research Foundation

The Multi-Index Model and Practical Portfolio Analysis

  1. James L. Farrell
The Multi-Index Model and Practical Portfolio Analysis View the full book (PDF)

Major new approaches and techniques to investment management have been introduced in recent years to assist portfolio managers in estimating returns and in controlling risk levels in their portfolios. The linear single-index model that uses a beta coefficient has received considerable attention and discussion among professional analysts. The author of this paper reviews three major portfolio models and presents a multi-index model that has a potential of being a significantly useful extension to the existing single-index model and to beta theory.

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.