Question
A portfolio has market beta of 1.40. I would like to achieve a market-neutral beta exposure. How shall I do it? I have only the
A portfolio has market beta of 1.40. I would like to achieve a market-neutral beta exposure. How shall I do it? I have only the following assets at my disposal: the portfolio (with market beta of 1.40), and market index (S&P 500) that I can long or short. Clearly show your calculations.
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Money Banking And Financial Markets
Authors: Stephen Cecchetti, Kermit Schoenholtz
6th Edition
1260226786, 9781260226782
