if i want to create a tracking portfolio with beta of 1.4, you need to includes position of 1.4 in the S&P 500 and -0.4 in T-bills. Why i need -0.4 in T-bills?
Thx very much.作者: sy8111 时间: 2013-8-22 21:09
portfolio weights must sum to 1, 这个是portfolio定义啊，你其他信息不足，beta 1.4相关的就不说了。
