to but often very different to market beta. If the idiosyncratic risk is 0 (i.e., the stock returns do not move), so is the market-beta. The reverse is not the case: A coin toss bet has a zero beta but not zero risk.

Attempts have been made to estimate the three ingredient components separately, but this has not led to better estimates of market-betas.

Adding an asset to the market portfolio

Suppose an investor has all his money in the market and wishes to move a small amount into asset class . The new portfolio

1.Previous
3.Next