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Beta is one measure with many faces

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Uploaded by on Sep 26, 2008

Beta is covariance (x,y)/variance(y). It has many applications. Including, for example, the minimum hedge ratio for a future hedge on a commodity, the capital asset pricing model (CAPM), cash flow beta, and marginal value at risk (marginal VaR).

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  • thank you so much.. very helpful

  • clever comparisons. thanks

  • I think it's SCL (security characteristic line) not the SML but they are basically the same thing with difference X-axis variables.

  • nevermind i get it. just algebra.

  • at 5:45, what happens to rho-sf after the third equals sign?

    i think since rho=cov(s,f)/(sig(s)xsig(f), the top and bottom sig(s) canceled, but he didn't show it that way.

  • very helpful

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