Zero-beta portfolio

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Zero-beta portfolio

A portfolio constructed to have zero systematic risk, similar to the risk-free asset, that is, having a beta of zero.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
Where E([R.sub.j]) is the expected return on asset i, [R.sub.z] is the return on the risk free portfolio (zero beta portfolio), [R.sub.m] is the expected return on the market portfolio and [B.sub.i] is Cov([R.sub.i][R.sub.m])/Var [R.sub.m], the systematic risk of security i.
Thus, the strategy outlined in this paper creates a zero beta portfolio for expected market downturns and a portfolio with a beta equal to one for expected market upturns.