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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Competing On Analytics The New Science Of Winning
Authors: Thomas H Davenport, Jeanne G Harris, Gary Loveman
1st Edition
1422103323, 9781422103326
