Question
Assume the CAPM holds. The return on asset XYZ is perfectly correlated with the return on the market portfolio. Your friend makes the following claim:
Assume the CAPM holds. The return on asset XYZ is perfectly correlated with the return on the market portfolio. Your friend makes the following claim: a portfolio that invests one dollar in XYZ and shorts one dollar of the market portfolio will have no systematic risk. Comment on the validity of your friends claim and explain briefly.
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Investing All In One
Authors: Eric Tyson
1st Edition
1119376629, 978-1119376620
