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 ?
The two-factor models achieved according to the research carried out by Black, Jensen and Scholes states that a zero-beta portfolio with an predicted return, Rz surpasses the risk free rate of interest, Rf.
I thought about using the capital asset pricing model to establish a zero-beta portfolio of common stock and warrants by selling enough shares of common stock per each warrant held each period to create a zero-beta portfolio.
In the summer or early fall of 1969, I discussed with Fischer my earlier experience with warrants, my attempt at creating the zero-beta portfolio, and my inability to determine the changing number of shares needed each period to create the zero-beta portfolio.
By substituting for the change in the warrant price as a function of changes in the stock price and time in the warrant asset pricing relation, it became obvious on how to create a zero-beta portfolio that would have an expected rate of return equal to the interest rate (for we assumed a constant interest rate).
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.
A zero-beta portfolio has zero covariance with the market portfolio.