The equilibrium futures price will be less than the currently expected time T spot price if the

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The equilibrium futures price will be less than the currently expected time T spot price if the spot price exhibits systematic risk. This provides an expected profit for the long position who bears the risk and imposes an expected loss on the short position who is willing to accept that expected loss as a means to shed systematic risk. P-636

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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