In this Appendix, we show that the beta of any portfolio is the weighted average of...
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In this Appendix, we show that the beta of any portfolio is the weighted average of betas of constituent assets. Equivalently: = ;; j=1 where "P" is a portfolio with j = 1,2, ..., N constituent assets. Proof: = 1 Cov(F,M) - (*) = + w, cov (7,7%) 2 M i=1 W W Cov(M) = i=1 In this Appendix, we show that the beta of any portfolio is the weighted average of betas of constituent assets. Equivalently: = ;; j=1 where "P" is a portfolio with j = 1,2, ..., N constituent assets. Proof: = 1 Cov(F,M) - (*) = + w, cov (7,7%) 2 M i=1 W W Cov(M) = i=1
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