Тестване на САРМ с използването на различни заместители на пазарния портфейл на българския капиталов пазар

CAPM is the most employed model for defining the expected return in companies. One of the variables in the model is the market portfolio return. Market portfolio cannot be build in the practice. Instead of market portfolio we use market portfolio proxy. Many proxies can be constructed usually by using market index. Our purpose is to identify which market index (public ones and constructed by us) are most appropriate to determine the expected return by CAPM