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Unsystematic Risk Over Time

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  • Mokkelbost, Per B.

Abstract

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.

Suggested Citation

  • Mokkelbost, Per B., 1971. "Unsystematic Risk Over Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(2), pages 785-796, March.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:02:p:785-796_02
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    Cited by:

    1. William P. Lloyd & John H. Hand & Naval K. Modani, 1981. "The Effect Of Portfolio Construction Rules On The Relationship Between Portfolio Size And Effective Diversification," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 183-193, September.
    2. William P. Lloyd & Steven J. Goldstein, 1982. "Simulation Of Portfolio Returns: Varying Numbers Of Securities And Holding Periods," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 27-38, March.
    3. Ngo, Vu Minh & Nguyen, Huan Huu & Van Nguyen, Phuc, 2023. "Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?," Research in International Business and Finance, Elsevier, vol. 65(C).

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