Question
What is the CAPM beta of a combination of the stock portfolio and a short position in the stock Index futures contract that minimises the
What is the CAPM beta of a combination of the stock portfolio and a short position in the stock Index futures contract that minimises the variance of the portfolio? Motivate your answer. (Full marks will be awarded for an analytical demonstration of the result.)
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Corporate Finance
Authors: Jonathan Berk, Peter DeMarzo
5th Global Edition
1292304154, 978-1292304151
