Abstract

http://ssrn.com/abstract=765064
 


 



Alpha and Beta in an Exposure Based Framework


Pranay Gupta


Allocationmetrics Limited

July 17, 2005


Abstract:     
This paper proposes a philosophy, which generalises the concepts of alpha and beta in its various forms. We argue that in a generalised form the demarcation is actually one between commoditised and non-commoditised beta exposures. This demarcation changes as the market evolves. We further discuss the implications of this framework for active investment processes and the conceptual understanding of portable alpha strategies and risk management.

Keywords: alpha, beta, CAPM, exposure, risk, strategy, hedge funds, asset class

JEL Classification: G10, G11, G12, G15


Not Available For Download

Date posted: August 4, 2005 ; Last revised: May 27, 2015

Suggested Citation

Gupta, Pranay, Alpha and Beta in an Exposure Based Framework (July 17, 2005). Available at SSRN: http://ssrn.com/abstract=765064 or http://dx.doi.org/10.2139/ssrn.765064

Contact Information

Pranay Gupta (Contact Author)
Allocationmetrics Limited ( email )
PO Box 225, Tung Chung Post Office
Tung Chung, Lantau
Hong Kong, 00000
Hong Kong
852 6778 0258 (Phone)
HOME PAGE: http://www.allocationmetrics.com
Feedback to SSRN


Paper statistics
Abstract Views: 4,333

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.125 seconds