A fund's risk appetite is such that it wants to be 97.5% certain it will not lose

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A fund's risk appetite is such that it wants to be 97.5% certain it will not lose more than 25% in any one year. Using the performance of the S&P 500 between 1970 and 2021 (see Table 24.1), determine the beta the fund should have. Assume a risk‐ free rate of 2.5% per annum.


Table 24.1

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