Using the theory of stationary Markov chains, the authors uncover a previously unknown property of the behavior of betas. Specifically, if the cross-sectional distribution of betas is stationary over time, then the set of firms that remain in an arbitrarily chosen beta interval between one...

This paper presents a new methodology for portfolio analysis based on the correspondence between the expression for the standard deviation of a two-asset portfolio and the magnitude of the sum of two complex numbers. This approach offers a geometric alternative to traditional portfolio analysis....

The tree harvesting paradigm finds the optimal length of each harvest cycle. Typically, only the extreme cases of one and infinite harvests are considered. The author extends the model in two ways. First, he analyzes an arbitrary number of harvest cycles and shows that the optimal cycle length...

This paper reexamines the regression tendencies of beta. The authors show that common assertions in the literature about regression tendencies go well beyond the facts established by Marshall E. Blume. They analyze betas during the 1926-85 period and examine the tendencies of betas to change....