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

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  • Jacob, Nancy L.

Abstract

Markowitz [12] and Tobin [19] pioneered in the development of a portfolio selection model resting on the assumptions that the investor1. Chooses among alternative investment opportunities solely on the basis of expected return (E) and standard deviation of return 〈σ〉, and2. Prefers more expected return to less but will refuse to incur additional risk (measured by standard deviation) unless compensated by increased expected return.

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  • Jacob, Nancy L., 1971. "The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(2), pages 815-833, March.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:02:p:815-833_02
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    Cited by:

    1. Kurach, Radosław & Stelmach, Jerzy, 2014. "Time-Varying Behaviour of Sector Beta Risk – The Case of Poland," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 139-159, March.
    2. Modigliani, Franco. & Pogue, G. A., 1973. "A test of the capital asset pricing model on European stock markets," Working papers 667-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
    4. Ana María Olaya, 2002. "Las finanzas en la frontera del conocimiento," Borradores de Investigación 3114, Universidad del Rosario.
    5. Modigliani, Franco. & Pogue, G. A., 1973. "An introduction to risk and return concepts and evidence," Working papers 646-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.

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