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An Analytic Derivation and Comments on Betting Against Beta

Chen, Deng-Ta - 2014

I present a closed form solution to the OLG model in Frazzini and Pedersen (2014), and find that their OLG model of heterogeneous investors results in the zero-beta CAPM. I prove that the optimal amount to invest in risky assets for an investor is determined exactly by her risk aversion, margin...

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