Using the efficient portfolio instead of the SP500: a. Compute the monthly returns on the efficient portfolio.

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Using the efficient portfolio instead of the SP500:

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 considering Propositions 3 and 4 from Chapter 11.

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Financial Modeling

ISBN: 9780253337825

5th Edition

Authors: Simon Benninga, Tal Mofkadi

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