Author(s)

Shirui Che

Corresponding Author

Shirui Che

ABSTRACT

This paper collects historical daily total return data for the last 20 years for 10 stocks belonging to three or four different industries, one (S&P 500) stock index (11 risky assets in total) and A proxy for the risk-free rate (1-month federal funds rate) designed to aggregate daily data into monthly observations, and based on those monthly observations to calculate all proper optimization inputs alongside the Index Model (“IM”) under five constrains. This paper also presents the results in sheet to make inferences comparisons, inferences and instructions between the sets of constraints for the sensitivity analysis.

KEYWORDS

Stock analysis, IM model, Financial market