The alpha-beta analysis and geometric mean strategy of portfolio solution

• Main Authors: Hidalgo, Clarissa L., Kintanar, Josephine B.
• Format: text
• Language: English
• Published: Animo Repository 1982
• Subjects: Portfolio management > mathematical models
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/15107
• Institution: De La Salle University

This paper discusses the alpha-beta analysis and the geometric mean strategy, two mathematical techniques of portfolio selection directed towards determining the most suitable portfolio for the large private or institutional investor. The alpha-beta analysis is a method for portfolio selection developed from simple regression analysis. The discussion of the alpha-beta analysis includes the following: description of the measurement of investment risk, the relevant information that can be derived from the relationship between expected investment return and investment risk measured, and application of these relevant information to the analysis of portfolio selection. An actual case illustration is presented on the alpha-beta analysis, namely, the College Retirement Equities Fund (CREF) in the U.S.