Does My Beta Look Big in this?

9 Pages Posted: 27 Sep 2003

Date Written: July 15, 2003

Abstract

Simulations are performed which show the difficulty of actually achieving realized market neutrality. Results suggest that restrictions on the net value of the fund are particularly ineffective. A negative correlation - that is, market negativity - is propsed as a more reasonable target, both on theoretical and practical grounds. Random portfolios - portfolios that obey given constraints but are otherwise unrestricted - prove themselves to be a very effective tool to study issues such as this.

Suggested Citation

Burns, Patrick J., Does My Beta Look Big in this? (July 15, 2003). Available at SSRN: https://ssrn.com/abstract=443500 or http://dx.doi.org/10.2139/ssrn.443500

Patrick J. Burns (Contact Author)

Burns Statistics ( email )

4-b Jodrell Road
London E3 2LA
United Kingdom
+44 0 20 8525 0696 (Phone)

HOME PAGE: http://www.burns-stat.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
133
Abstract Views
1,413
Rank
405,173
PlumX Metrics