Portfolio Selection to achieve a target beta
dc.contributor.author | Mcinish, Thomas H | |
dc.contributor.author | Saniga, EM | |
dc.contributor.author | Morse, Joel N. | |
dc.date.accessioned | 2017-06-22T15:00:46Z | |
dc.date.available | 2017-06-22T15:00:46Z | |
dc.date.issued | 1984 | |
dc.description.abstract | Suppose an investor wishes to construct a portfolio of size k securities from a population of n securities (k≤n) such that a particular portfolio or target beta (β p ) is achieved. Since β p is a random variable, there will be some difference between a portfolio’s realized beta and the target beta. We investigate the problem of finding the combination of k securities that minimizes the variance of β p , or equivalently, minimizes the probability of a particular difference in target and realized beta. We also seek answers to a number of related questions. These are concerned with the effect on the variance of β p of naive selection of securities, of the choice of k, and of the presence of a risk-free asset. We also examine the characteristics of securities included in the optimal portfolio. | en_US |
dc.description.uri | http://www.numdam.org/article/RO_1984__18_2_131_0.pdf | en_US |
dc.format.extent | 16 pages | en_US |
dc.genre | journal articles | en_US |
dc.identifier | doi:10.13016/M22804Z26 | |
dc.identifier.citation | McInish, T. H., Morse, J. N., & Saniga, E. M. (March 29, 2011). Portfolio selection to achieve a target beta. Rairo - Operations Research, 18, 2, 131-145. | en_US |
dc.identifier.uri | 10.1051/ro/1984180201311 | |
dc.identifier.uri | http://hdl.handle.net/11603/4158 | |
dc.language.iso | en_US | en_US |
dc.publisher | AFCET | en_US |
dc.relation.isAvailableAt | University of Baltimore | |
dc.title | Portfolio Selection to achieve a target beta | en_US |
dc.type | Text | en_US |