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Interest Rate Sensitivity and Portfolio Risk

Published online by Cambridge University Press:  19 October 2009

John D. Martin  and
Arthur J. Keown
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Extract

Since its inception the single-index market model has been the subject of a large body of theoretical and empirical research. This study deals with the very difficult issue surrounding the practical implementation of the model in portfolio analysis where significant, nonmarket sources of covariation in security returns are believed to be present.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 2 , June 1977 , pp. 181 - 195
Copyright
Copyright © School of Business Administration, University of Washington 1977

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References

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