Zero Beta Capm

Zero Beta Capm. The ZeroBeta CAPM 2 questions Okay so every portfolio on the efficient frontier of the minimumvariance frontier has a corresponding portfolio on the opposite side of the minimumvariance frontier (ie the inefficient frontier) with which it is uncorrelated.

The expected return of an efficient portfolio’s zerobeta companion portfolio can be derived by the following graphical procedure From any efficient portfolio such as P in Figure 97 on page 278 draw a tangency line to the vertical axis The intercept will be the expected return on portfolio P’s zerobeta companion portfolio denoted Z (P).

The CAPM with Restricted Borrowing The Zero Beta Model

PDF fileThis is the zerobeta CAPM The name is due to the fact that the risk free interest rate is replaced by the expected rate of return on a portfolio which has a beta of zero relative to the market portfolio Even though this portfolio cannot be easily observed this equation has testable implications 14/15 No Riskless Asset Zero beta CAPM Zerocovariance portfolio 15/15 Title.

CAPM Beta of zero and its implications on

NorthHolland MULTIVARIATE TESTS OF THE ZEROBETA CAPM Jay SHANKEN* University of California at Berkeley Berkeley CA 94720 USA Received October 1982 final version received January 1985 A `crosssectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling TZ test of multivariate statistical analysis is explored.

Financial Economics: Extension of CAPM

PDF filelinear relation between expected return and beta with respect to the market portfolio must holdrespect to the market portfolio must hold This argument leads to the zerobeta CAPM (Black 1972) where r z is the return of a zerobeta portfolio E(r j ) =E(r z )+β j [E(r m )−E(r z)] Asset Management Youchang Wu 13 where r is the return of a.