You must specify the level of
beta risk of your portfolio that you intend to maintain and show how the beta values of the shares you have chosen produce/meet the chosen beta level for the portfolio.
As a matter of fact, we found out that the
beta risk is largely variable, depending on the industry and that it diminishes in terms of the venture's age.
1995) using the dual-beta framework find consistent and significant relationship between beta and return and positive payment for
beta risk.
Time-varying
beta risk for Australian industry portfolios: an exploratory analysis.
1) Alternatively, as emphasized by Cochrane (2005) and Kan, Robotti, and Shanken (2009), one can use covariance risks instead of
beta risks in the CSR.
If we take the efficiency improvement too far we are likely minimizing alpha rather than
beta risk.
The volatility of log closing price change tends to understate the
beta risk and Sharpe ratio.
One of these is common time-variation in the fund's
beta risk and the expected market risk premium, related to public information on the state of the economy.
Program
Beta Risk Management Authority, Alamo, Calif.
However, a beta needs to be interpreted in light of the R-squared measurement that reflects the reliability of the
beta risk statistic.
The principle of risk compensation that higher
beta risk is associated with higher return has been established empirically.
Specifically, alpha risk is the likelihood that an auditor will conclude that an account is materially misstated (in error) when it is not and
beta risk is the likelihood that an auditor will conclude an account is not materially misstated when it is indeed materially misstated (in error).
