# Betting Against Beta: How does portfolio construction work?

#### Aber

##### Member
http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf

I am looking at this paper and I don't quite understand how portfolio construction work in this strategy. Let's for instance consider a market with two assets, A and B with $\beta_A<1 \text{ and } \beta_B>1$ and a riskfree rate $r$. The strategy suggest that I should go Long on A and Short B. How Should I construct my portfolio according to this theory?