Portfolio selection to achieve a target beta

DOI10.1051/RO/1984180201311MaRDI QIDQ3337143zbMATH OpenOpenAlexFDO

Authors Thomas H. McInish, Joel N. Morse, Erwin Saniga

Publication date 1984

Published in RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/104850

zbMATH Keywords

financeinvestmentsoptimal portfoliotarget beta

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• A multiple objective stochastic portfolio selection problem with random beta
• scientific article; zbMATH DE number 1784068
• scientific article; zbMATH DE number 870104
• scientific article; zbMATH DE number 51121
• Selecting a discrete portfolio

Cited in

(6)

• On constructing expert Betas for single-index model
• On the R- cross-sectional relation with proxy portfolio.
• scientific article; zbMATH DE number 1784068 (Why is no real title available?)
• Alternative to beta coefficients in the context of diffusions
• A multiple objective stochastic portfolio selection problem with random beta
• Sequential monitoring of portfolio betas

This page was built for publication: Portfolio selection to achieve a target beta

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3337143)