Question
A fund's risk appetite wants to be 90% certain it will not lose more than 20% in any one year. Based on the following variables,
A fund's risk appetite wants to be 90% certain it will not lose more than 20% in any one year. Based on the following variables, calculate the beta the fund should have.
R = 0.25, RF = 0.03, RM = 0.082, sM = 0.15, and p = 0.9
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Parimutuel Applications In Finance New Markets For New Risks
Authors: Ken Baron, Jeffrey Lange
1st Edition
1403939500, 9781403939500
