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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?
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?
