Lee, Cheng Few Single-index model, multiple-index model, and portfolio selection. (English) Zbl 1454.91223 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2757-2799 (2021). Summary: This chapter offers some simplifying assumptions that reduce the overall number of calculations of Markowitz models through the use of the Sharpe single-index and multiple-index models. Besides single-index model, we also discuss how multiple-index model can be applied to portfolio selection. We have theoretically demonstrated how single-index and multiple-index portfolio selection models can be used to replace Markowitz portfolio selection model. An Excel example of how to apply the single-index model approach is also demonstrated.For the entire collection see [Zbl 1446.91003]. MSC: 91G10 Portfolio theory 90C05 Linear programming Keywords:beta coefficient; covariance; Lagrangian calculus maximization; linear programming; market model; multiple-index model; single-index model Software:Excel PDFBibTeX XMLCite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2757--2799 (2021; Zbl 1454.91223) Full Text: DOI