In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8%

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answerhappygod
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In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8%

Post by answerhappygod »

In an environment with risk-free rate of zero, if Stock A has
return of 10% and Beta of 1.0 and stock B has return of 8% with
Beta of 0.5, find a zero-beta portfolio and state its return.
[Note a negative amount indicates short-selling, which we assume is
allowed here]
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