Windjam

mik82 Wrote:
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> No. It is pretty much the RFR. There is CFAI
> problem that proves it. In the problem posted, the
> implied beta of the future is missing. Cannot
> calculate the # of fut to sell. Please provide.


Can you reference this problem? I'm hesitant on agreeing with this statement because there are examples where you have to calculate the effective beta. If the hedge was perfect, then effective beta would always equal the target beta.

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