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- 2012-6-5
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Let me give a try....
1. Beta=r(p,m)*Sigma(P)/Sigma(M)
2. If portfolio P is well diversified, the correlation r(p,m) between portfolio P and the martket equals 1.
3. therefore, Beta(P)=1*Sigma(P)/Sigma(M)=Sigma(P)/Sigma(M)
Does it make sense? |
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发表于 2012-6-7 11:17
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