Interest Rate Sensitivity and Portfolio Risk

John D. Martin and Arthur J. Keown

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 2, 181-195

Abstract: Since its inception the single-index market model has been the subject of a large body of theoretical and empirical research. This study deals with the very difficult issue surrounding the practical implementation of the model in portfolio analysis where significant, nonmarket sources of covariation in security returns are believed to be present.

Date: 1977
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