Can risk-free and zero-beta portfolios be constructed? UK and US Evidence

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-03-25 DOI:10.1016/j.econlet.2025.112308

Zhen He , Fergal O'Connor , Jacco Thijssen

引用次数: 0

Abstract

This paper determines whether a risk-free portfolio can be formed using gold, T-bills, silver, platinum, and palladium. We construct zero-variance portfolios composed of two assets showing that it is possible to construct risk-free portfolios based on zero variance. We apply Wald tests to Black's zero-beta CAPM to examine whether these constructed risk-free portfolios qualify as zero-beta portfolios. We find that a risk-free portfolio is not always a zero-beta portfolio. Results show that a risk-free portfolio and a zero-beta portfolio in one market is not necessarily so in another.

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能否构建无风险和零贝塔的投资组合？英国和美国的证据

本文确定了使用黄金、短期国库券、白银、铂金和钯金是否可以形成无风险投资组合。我们构建了由两种资产组成的零方差投资组合，表明基于零方差构建无风险投资组合是可能的。我们对Black的零beta CAPM应用Wald检验来检验这些构建的无风险投资组合是否符合零beta投资组合的条件。我们发现无风险的投资组合并不总是零贝塔的投资组合。结果表明，一个市场中的无风险投资组合和零贝塔投资组合在另一个市场中并不一定如此。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.