Zero-beta portfolio

Zero-beta portfolio

A portfolio constructed to have zero systematic risk, similar to the risk-free asset, that is, having a beta of zero.

Zero-Beta Portfolio

A portfolio with no systematic risk. A zero-beta portfolio is most useful for a risk averse investor; however, its expected return is the risk-free rate of return, which is very low.
References in periodicals archive ?
For the textile case the zero-beta portfolio return is higher than the risk free return which supports the zero-beta version as suggested in other markets [Jensen (1968)].
The coefficient for miscellaneous industries is positive and almost two times the borrowing rate, which supports the zero-beta portfolio during the reform period.