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CAS Exam 9 Study Notes: Single Index Models
2019-03-17
I've uploaded my notes on single index models, based on Chapter 8 of the Investments textbook by Bodie, Kane, and Marcus. These notes correspond to learning objective A5 on the Exam 9 syllabus, and explain how a linear regression of returns of an individual security against market returns leads to a portfolio optimization model that is considerably simpler than the full Markowitz model.
Keywords: Actuarial Science, Study Note, Exam 9