If beta_L = 0.8 and beta_H = 2.50 What is the risk-free asset position in the BaB

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If beta_L = 0.8 and beta_H = 2.50 What is the risk-free asset position in the BaB long-short strategy ?

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Financial Decisions And Markets A Course In Asset Pricing

ISBN: 9780691160801

1st Edition

Authors: John Y. Campbell

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Posted Date: Apr 06, 2024 03:34 PM

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If beta_L = 0.8 and beta_H = 2.50 What is the risk-free asset position in the BaB

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Expert Answer:

In a longshort strategy the riskfree asset position can be calculated using the formula Ri... View the full answer

Financial Decisions And Markets A Course In Asset Pricing

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