Using the efficient portfolio instead of the S&P 500: a. Compute the monthly returns on the efficient

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Using the efficient portfolio instead of the S&P 500:

a. Compute the monthly returns on the efficient portfolio.

b. Regress the average monthly returns of the stocks on their betas with respect to the efficient portfolio.

c. Explain your results in light of Propositions 3 and 4 from Chapter 9.

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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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