Hostname: page-component-cc8bf7c57-77pjf Total loading time: 0 Render date: 2024-12-11T22:16:55.376Z Has data issue: false hasContentIssue false
  • English
  • Français

Unsystematic Risk Over Time

Published online by Cambridge University Press:  19 October 2009

Per B. Mokkelbost
Get access Rights & Permissions [Opens in a new window]

Extract

Articles by Sharpe [1], Lintner [2], and Hastie [3] introduce concepts of systematic and unsystematic risk associated with portfolio rate of return. Defining risk as variation in portfolio return, such risk comprises two elements:

1. Systematic risk or variation, which is the covariation of portfolio rate of return with market rate of return.

2. Unsystematic risk or variation, which is the difference between total portfolio variation and systematic variation. Unsystematic variation is therefore variation due to attributes of individual securities.

Type
Trefftzs Prize
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 2 , March 1971 , pp. 785 - 796
Copyright
Copyright © School of Business Administration, University of Washington 1971

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Sharpe, W. F., “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, Vol. XIX (September 1964), pp. 426–442.Google Scholar
[2]Lintner, J., “Security Prices, Risk and Maximal Gains from Diversification,” Journal of Finance, Vol. XX (December 1965), pp. 587–615.Google Scholar
[3]Hastie, K. L., “The Determination of Optimal Investment Policy,” Management Science, Vol. 13 (August 1967), pp. B–757–B–774.CrossRefGoogle Scholar
[4]Evans, J. L., and Archer, S. H., “Diversification and the Reduction of Dispersion,” Journal of Finance, Vol. XXIII (December 1968), pp. 761–767.Google Scholar