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Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects

version 1.0.0.0 (66.5 KB) by Attilio Meucci
"Beta" not just the CAPM, "Beta" not on log-returns

1.1K Downloads

Updated 04 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci, "Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects"

Last version of code and article available at http://symmys.com/node/165

Cite As

Attilio Meucci (2022). Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects (https://www.mathworks.com/matlabcentral/fileexchange/31310-common-misconceptions-about-beta-hedging-estimation-and-horizon-effects), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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