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

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dc.check.date2027-03-29en
dc.check.infoAccess to this article is restricted until 24 months after publication by request of the publisheren
dc.contributor.authorHe, Zhenen
dc.contributor.authorO'Connor, Fergalen
dc.contributor.authorThijssen, Jaccoen
dc.date.accessioned2025-04-11T14:49:05Z
dc.date.available2025-04-11T14:49:05Z
dc.date.issued2025-03-29en
dc.description.abstractThis 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.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid112308en
dc.identifier.citationHe, Z., O'Connor, F. and Thijssen, J. (2025) 'Can risk-free and zero-beta portfolios be constructed? UK and US Evidence', Economics Letters, 250, 112308 (4pp). https://doi.org/10.1016/j.econlet.2025.112308en
dc.identifier.doi10.1016/j.econlet.2025.112308en
dc.identifier.endpage4en
dc.identifier.issn0165-1765en
dc.identifier.journaltitleEconomics Lettersen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/17259
dc.identifier.volume250en
dc.language.isoenen
dc.publisherElsevier B.V.en
dc.relation.ispartofEconomics Lettersen
dc.rights© 2025, Elsevier B. V. All rights are reserved, including those for text and data mining, AI training, and similar technologies.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectRisk-free portfolioen
dc.subjectPrecious metalsen
dc.subjectWald testen
dc.subjectZero-beta CAPMen
dc.titleCan risk-free and zero-beta portfolios be constructed? UK and US Evidenceen
dc.typeArticle (peer-reviewed)en
dc.typejournal-articleen
oaire.citation.volume250en
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