1. 

   Jia Syuen Very Active Member

   In ii) It is required to determine the number of parameters to be estimated in a single index model.
   
   In the examiners' report, the answer for single index model is 3N+1. I thought it was 3N+2 stated in the CMP?

    

   Jia Syuen, Jun 6, 2021

   #1
2. 

   Steve Hales ActEd Tutor Staff Member

   The volatility of the return on the market is also usually included in the number of parameters; that makes it 3N+2.

    

   Steve Hales, Jun 7, 2021

   #2

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