Dynamic Estimation of Portfolio Betas
David A. Umstead, Gary L. Bergstrom
Journal of Financial and Quantitative Analysis · 1979 · Volume 14 · Issue 3
Abstract
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.
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