Question
A hypothetical market consists of only 4 assets, A, B, C and D. They are uncorrelated with each other and have the same variance of
A hypothetical market consists of only 4 assets, A, B, C and D. They are uncorrelated with each other and have the same variance of 0.01. There are $1 million of A, $4 million of B, $100 million of C and $20 million of D. Which has the highest market beta?
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Money Banking And Financial Markets
Authors: Stephen Cecchetti, Kermit Schoenholtz
6th Edition
1260226786, 9781260226782
