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Suppose that the value of is greater than 1 for a particular stock. Show that the variance of (R_i - R_f ) for this stock
- Suppose that the value of is greater than 1 for a particular stock. Show that the variance of (R_i - R_f ) for this stock is greater than the variance of (R_m R_t)
- Suppose that the value of is less than 1 for a particular stock. Is it possible that variance of (R_i - R_f ) for this stock is greater than the variance of (R_m - R_t) (Hint: Don't forget the regression error)
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Stochastic Calculus And Applications
Authors: Samuel N Cohen, Robert J Elliott
2nd Edition
1493928678, 9781493928675
