RT Journal Article
SR Electronic
T1 The β-Plus Measure in Asset Allocation
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 26
OP 36
DO 10.3905/jpm.2004.412316
VO 30
IS 3
A1 Martin L. Leibowitz
YR 2004
UL https://pm-research.com/content/30/3/26.abstract
AB The explicit covariance matrix employed in the standard asset allocation process can also be used to develop an analytic beta measure of the portfolio?s exposure to the equity market. While these allocation-level beta measures are typically not an element in the routine performance reports of U.S. pension and endowment funds, they would be an informative addition. There are powerful arguments for routine incorporation of beta measures in asset allocation studies as a separate component of risk specification.