Hostname: page-component-77c89778f8-cnmwb Total loading time: 0 Render date: 2024-07-16T23:29:58.796Z Has data issue: false hasContentIssue false
  • English
  • Français

The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results

Published online by Cambridge University Press:  19 October 2009

Nancy L. Jacob
Get access Rights & Permissions [Opens in a new window]

Extract

Markowitz [12] and Tobin [19] pioneered in the development of a portfolio selection model resting on the assumptions that the investor

1. Chooses among alternative investment opportunities solely on the basis of expected return (E) and standard deviation of return 〈σ〉, and

2. Prefers more expected return to less but will refuse to incur additional risk (measured by standard deviation) unless compensated by increased expected return.

Type
Investments I
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 2 , March 1971 , pp. 815 - 833
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Arrow, K. J., “The Role of Securities in the Optimal Allocation of Riskbearing,” Review of Economic Studies, XXXI (1964), pp. 91–96.CrossRefGoogle Scholar
[2]Blume, Marshall E., “The Assessment of Portfolio Performance: An Application of Portfolio Theory,” (Ph.D. diss., Graduate School of Business, University of Chicago, 1968).Google Scholar
[3]Cohen, Kalman J., and Fitch, Bruce P., “The Average Investment Performance Index,” Management Science, XII (1966), B195–215.CrossRefGoogle Scholar
[4]Debreu, Gerard, Theory of Value: An Axiomatic Analysis of Economic Equilibrium (New York: John Wiley & Sons, 1959) Chapter 7.Google Scholar
[5]Fisher, Lawrence, “Some New Stock-Market Indexes,” Journal of Business, XXXIX (1966), pp. 191–225.CrossRefGoogle Scholar
[6]Fisher, L., and Lorie, J. H., “Rates of Return on Investments in Common Stocks,” Journal of Business, XXXVII (1964), pp. 1–21.Google Scholar
[7]Hirshleifer, J., “Investment Decision Under Uncertainty: Choice Theoretic Approaches,” Quarterly Journal of Economics, LXXIX (1965) pp. 509–536.CrossRefGoogle Scholar
[8]Hirshleifer, J., “Investment Decision Under Uncertainty: Applications of the State-Preference Approach,” Quarterly Journal of Economics, LXXX (1966) pp. 252–276.CrossRefGoogle Scholar
[9]Jacob, Nancy L., “The Measurement of Market Similarity for Securities and Portfolios Under Uncertainty,” Journal of Business, XLIII (1970), pp. 328–340.CrossRefGoogle Scholar
[10]Jensen, Michael C., “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios,” Journal of Business, XLII (1969), pp. 167–247.CrossRefGoogle Scholar
[11]Lintner, John, “Security Prices, Risk, and Maximal Gains from Diversification,” Journal of Finance, XX (1965) pp. 587–615.Google Scholar
[12]Markowitz, Harry, Portfolio Selection: Efficient Diversification of Investments (New York: John Wiley & Sons, 1959).Google Scholar
[13]Miller, M., “Some Thoughts on Testing the Relation Between Risk and Return,” unpublished paper (1965).Google Scholar
[14]Mossin, Jan, “Equilibrium in a Capital Asset Market,” Econometrica, XXXIV (1966) pp. 768–782.CrossRefGoogle Scholar
[15]Myers, Stewart C., “A Time-State-Preference Model of Security Valuation,” Journal of Financial and Quantitative Analysis, III (1968), pp. 1–33.CrossRefGoogle Scholar
[16]Roll, Richard, “Bias in Fitting the Sharpe Model to Time Series Data,” Journal of Financial and Quantitative Analysis, IV (1969), pp. 271–289.CrossRefGoogle Scholar
[17]Sharpe, William F., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, XIX (1964), pp. 425–442.Google Scholar
[18]Sharpe, William F., Portfolio Theory and Capital Markets (New York: McGraw-Hill, 1970).Google Scholar
[19]Tobin, James, “Liquidity Preference as Behavior Towards Risk,” reprinted in Hester, Donald D. and Tobin, James, eds., Risk Aversion and Portfolio Choice, (New York: John Wiley & Sons, 1967), pp. 1–26.Google Scholar
[20]Treynor, Jack L., “How to Rate Management of Investment Funds,” Harvard Business Review, XLIII (1965), pp. 63–75.Google Scholar