Functional Partial Linear Single-index Model

2015 ◽  
Vol 43 (1) ◽  
pp. 261-274 ◽  
Author(s):  
Guochang Wang ◽  
Xiang-Nan Feng ◽  
Min Chen
Keyword(s):  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Partial Linear

scholarly journals Estimation for a partial-linear single-index model

2010 ◽  
Vol 38 (1) ◽  
pp. 246-274 ◽  
Author(s):  
Jane-Ling Wang ◽  
Liugen Xue ◽  
Lixing Zhu ◽  
Yun Sam Chong
Keyword(s):  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Partial Linear

A novel partial-linear single-index model for time series data

2019 ◽  
Vol 134 ◽  
pp. 110-122 ◽  
Author(s):  
Lei Huang ◽  
Hui Jiang ◽  
Huixia Wang
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Series Data ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Partial Linear

scholarly journals Estimation for a partial-linear single-index model

2011 ◽  
Vol 39 (6) ◽  
pp. 3441-3443 ◽  
Author(s):  
Ting-Ting Li ◽  
Hu Yang ◽  
Jane-Ling Wang ◽  
Liu-Gen Xue ◽  
Li-Xing Zhu
Keyword(s):  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Partial Linear

scholarly journals Comparison of Some Semi-parametric Methods in Partial Linear Single-Index Model

2021 ◽  
Vol 27 (130) ◽  
pp. 170-184
Author(s):  
Huda Yahya Ahmed ◽  
Munaf Yousif Hmood
Keyword(s):  
Parametric Estimation ◽  
Estimation Methods ◽  
Model Estimation ◽  
Finite Sample ◽  
Two Stage ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Mean ◽  
Partial Linear

The research dealt with a comparative study between some semi-parametric estimation methods to the Partial linear Single Index Model using simulation. There are two approaches to model estimation two-stage procedure and MADE to estimate this model. Simulations were used to study the finite sample performance of estimating methods based on different Single Index models, error variances, and different sample sizes , and the mean average squared errors were used as a comparison criterion between the methods were used. The results showed a preference for the two-stage procedure depending on all the cases that were used

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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