Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14
The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...
