Investments, tenth edition

 8.3 

Estimating the Single-Index Model  264

The Security Characteristic Line for Hewlett-Packard / 

The Explanatory Power of the SCL for HP / Analysis 

of Variance / The Estimate of Alpha / The Estimate 

of Beta / Firm-Specific Risk / Correlation and 

Covariance Matrix

 8.4 

Portfolio Construction and the Single-Index 

Model 271

Alpha and Security Analysis / The Index Portfolio as an 

Investment Asset / The Single-Index-Model Input List / 

The Optimal Risky Portfolio in the Single-Index Model / 

The Information Ratio / Summary of Optimization 

Procedure / An Example

Risk Premium Forecasts / The Optimal Risky Portfolio