Question
Let zc(M) is zero-beta or zero-covariance (with the market) portfolio. The zero-beta CAPM for an asset with index j: j = zc(M) + j,M (M
Let zc(M) is zero-beta or zero-covariance (with the market) portfolio. The zero-beta CAPM for an asset
with index j:
j = zc(M) + j,M (M zc(M))
Derive the zero-beta CAPM using the solution of the fully invested minimum variance portfolio.
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The Handbook Of Fixed Income Securities
Authors: Frank Fabozzi, Steven Mann
8th Edition
0071768467, 978-0071768467
