When a portfolio is not actively managed to maintain a fixed investment percentage in each asset but rather maintains a fixed number of shares for each asset, the portfolio weights will change over time because the market returns of the different assets will not be the same. Consequently, portfolio betas computed as a linear combination of asset…

This paper presents the Agresti & Coull "Adjusted Wald" method for computing confidence intervals and margins of error for common proportion estimates. The presented method is easily implementable by business students and practitioners and provides more accurate estimates of proportions particularly in extreme samples and small…

This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…

An educational example is presented that is an effective teaching illustration to help students understand the difference between traditional CAPM beta and downside (or down-market) beta and why downside beta is a superior measure for use in personal financial planning investment policy statements.