Portfolio selection to achieve a target beta

Thomas H. McInish; Joel N. Morse; Erwin M. Saniga

RAIRO - Operations Research - Recherche Opérationnelle (1984)

  • Volume: 18, Issue: 2, page 131-145
  • ISSN: 0399-0559

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McInish, Thomas H., Morse, Joel N., and Saniga, Erwin M.. "Portfolio selection to achieve a target beta." RAIRO - Operations Research - Recherche Opérationnelle 18.2 (1984): 131-145. <http://eudml.org/doc/104850>.

@article{McInish1984,
author = {McInish, Thomas H., Morse, Joel N., Saniga, Erwin M.},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {finance; investments; target beta; optimal portfolio},
language = {eng},
number = {2},
pages = {131-145},
publisher = {EDP-Sciences},
title = {Portfolio selection to achieve a target beta},
url = {http://eudml.org/doc/104850},
volume = {18},
year = {1984},
}

TY - JOUR
AU - McInish, Thomas H.
AU - Morse, Joel N.
AU - Saniga, Erwin M.
TI - Portfolio selection to achieve a target beta
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 1984
PB - EDP-Sciences
VL - 18
IS - 2
SP - 131
EP - 145
LA - eng
KW - finance; investments; target beta; optimal portfolio
UR - http://eudml.org/doc/104850
ER -

References

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  1. 1. C. B. BARRY, Portfolio Analysis Under Uncertain Means, Variances, and Covariances, Journal of Finance, Vol. 29, May 1974, pp. 515-522. 
  2. 2. R. P. BEY, The Stationarity of Beta : A Re-examination of Recent Findings, Working Paper # 467, College of Commerce and Business, Administration, University of Illinois, 1978. 
  3. 3. M. E. BLUME, On the Assessment of Risk, Journal of Finance, Vol. 26, March 1971, pp. 1-10. 
  4. 4. M. E. BLUME, Betas and Their Regression Tendencies, Journal of Finance, Vol. 30, July 1975, pp. 285-295. 
  5. 5. M. E. BLUME and I. FRIEND, The Changing Role of the Individual Investor, New York, Wiley, 1978. 
  6. 6. E. F. FAMA, Foundations of Finance. New York, Basic Books, Inc., 1976. 
  7. 7. N. C. HILL and B. K. STONE, Accounting Betas, Systematic Operating Risk and Financial Leverage : A Risk Composition Approachto the Determinants of Systematic Risk, Journal of Financial and Quantitative Analysis, Vol. 15, September 1980, pp. 595-637. 
  8. 8. N. L. JOHNSON, E. NIXON and D. E. AMOS, Table of Percentage Points of Pearson Curves for Given ?1 and ?2, Expressed in Standard Measure, Biometrika, Vol. 50, 1963, pp. 459-498. Zbl0117.37203MR164387
  9. 9. B. A. KALYMON, Estimation Risk in the Portfolio Selection Model, Journal of Financial and Quantitative Analysis, Vol. 6, January 1971, pp. 559-582. 
  10. 10. J. LINTNER, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, Vol. 47, February 1965, pp. 13-37. 
  11. 11. H. M. MARKOWITZ, Portfolio Selection, Journal of Finance,Vol. 7, March 1952, pp. 77-91. 
  12. 12. W. MCKIBBEN, Econometric Forecasting of Common Stock Investment Returns : A New Methodology Using Fundamental Operating Data, Journal of Finance, Vol. 27, May 1972, pp. 371-380. 
  13. 13. J. A. OHLSON, Risk, Return, Security-Valuation and the Stochastic Behavior of Accounting Numbers, Journal of Financial and Quantitative Analysis, Vol. 14, June 1979, pp. 317-336. 
  14. 14. W. F. SHARPE, Capital Asset Prices : A Theory of Market Equilibrium Unde Conditions of Risk, Journal of Finance, Vol. 19, September 1964, pp. 425-442. 
  15. 15. W. F. SHARPE, Portfolio Theory and Capital Markets, New York, McGraw-Hill, 1971. 
  16. 16. D. J. THOMPSON, II, Sources of Systematic Risk in Common Stocks, Journal of Business, Vol. 49, April 1976, pp. 173-188. 
  17. 17. B. ROSENBERG and J. GUY, The Prediction of Systematic Risk, IBER, University of California at Berkeley, Working Paper, February 1975. 
  18. 18. B. ROSENBERG and V. MARATHE, Common Factors in Security Returns : Macroeconomic Determinants and Macroeconomic Correlates, IBER, University of California at Berkeley, Working Paper 44, May 1976. 
  19. 19. B. ROSENBERG and W. MCKIBBEN, The Prediction of Systematic Risk and Specific Risk in Common Stocks, Journal of Financial and Quantitative Analysis, Vol. 8, March 1973, pp. 317-33. 
  20. 20. W. H. WAGNER S. C. LAU, The Effect of Diversification on Risk, Financial Analysts Journal, Vol. 27, November-December 1971, pp. 48-53. 

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