EconPapers    
Economics at your fingertips  
 

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

Zhen He, Fergal O'Connor () and Jacco Thijssen

Economics Letters, 2025, vol. 250, issue C

Abstract: This 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.

Keywords: Risk-free portfolio; Precious metals; Wald test; Zero-beta CAPM (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176525001454
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001454

DOI: 10.1016/j.econlet.2025.112308

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-05-17
Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001454