The Security Market Line, Estimations and Single Index Models

Eliezer Prisman

Chapter 8 in Lecture Notes in Investment:Investment Fundamentals, 2020, pp 193-239 from World Scientific Publishing Co. Pte. Ltd.

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…

Keywords: Equality Markets; Bond Markets; Investment Fundamentals (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2020
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