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The Security Market Line, Estimations and Single Index Models

In: Lecture Notes in Investment Investment Fundamentals

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  • Eliezer Prisman

Abstract

The capital asset pricing model (CAPM) is an equilibrium model. The security market line (SML) is probably the main contribution of the CAPM. This relation connects the expected rate of return of each security in the market to the market portfolio. It also stipulates the price of risk and the risk measure as the coefficient in the linear regression of each security on the market…

Suggested Citation

  • Eliezer Prisman, 2020. "The Security Market Line, Estimations and Single Index Models," World Scientific Book Chapters, in: Lecture Notes in Investment Investment Fundamentals, chapter 8, pages 193-239, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811219566_0008
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    More about this item

    Keywords

    Equality Markets; Bond Markets; Investment Fundamentals;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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