International investment management

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Reference no: EM132717407 , Length: word count:400

International Investment management

Question: 01

The excel file Q2 contains data on the share price of GSK and FTS100.

Using the share returns and the return on the market index for the period 1 January 2004 to 29 Feb 2008, and the method you have studied in lecture 4, estimate the parameters of the single-index model for GSK.

R_i=α_i +β_iR_m+ e_i

where R_i is the return on asset i (i = 1 for GSK), R_m is the return on the market index, and e_i is a random disturbance. Comment on your results details.

Rationale
The rationale for this assignment is to assess whether you can:
Apply the taught portfolio and bind management technique to solve given problem.
Articulate and present your findings in a professional manner.

Word:300- 400

Attachment:- International Investment management.rar

Reference no: EM132717407

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