Question
You wish to hedge your long risky portfolio of stocks which has a beta of 1.3. You will set-up an APT strategy for this hedge.
You wish to hedge your long risky portfolio of stocks which has a beta of 1.3. You will set-up an APT strategy for this hedge. What should be the weights of the portfolio, the S&P 500 Index, and RFR (T-Bill) be in your hedged portfolio? (wP, wM, wF)
A. -1.0, 1.3 and -0.3
B. 0.769, -1 and 0.231
C. 1.0, -1.3 and 0.3
D. -0.769, 1 and -0.231
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
