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As a portfolio manager, assume the following information: The beta of your portfolio 1.2 Your performance is exactly on target with the SML data under
As a portfolio manager, assume the following information: The beta of your portfolio 1.2 Your performance is exactly on target with the SML data under condition 1 Assume the true SML data is given under condition 2. Condition 1 RFR Rm(proxy) Condition 2 0.04 0.1 0.05 0.12 Rm(true) How much does your performance differ from the true SML
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The Money Markets Handbook A Practitioners Guide
Authors: Moorad Choudhry
1st Edition
0470821507, 978-0470821503
