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Dynamic Estimation of Portfolio Betas

Published online by Cambridge University Press:  06 April 2009

David A. Umstead  and
Gary L. Bergstrom
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Extract

The purpose of this study is to build and test a statistical model for the dynamic estimation of portfolio Betas. Of particular interest is the quality of Beta estimates obtainable from relatively small samples of daily return data. Also of particular interest is an assessment of the relationship between the quality of these estimates and the degree of portfolio diversification.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 595 - 614
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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