K. Rajaratnam
A topic of ongoing interest in investment risk management is measuring systematic risk using Beta. A recent study on the Top 40 stocks of the Johannesburg Stock Exchange showed methods to measure Beta in the context of reference-day risk. The study overcame reference-day risk in measuring Beta through determining a point estimate using bootstrap simulation. However, risk management in investments may be enhanced by using the standard deviation of Beta. In this research, we show bootstrap simulation may be used in determining both the mean and standard deviation of Beta.
Keywords: Simulation, Beta
Scheduled
ThA1 Insurance
June 2, 2016 9:00 AM
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