请教FRM-notes习题和aim2.8

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Here's a puzzle about notes B1,aim2.8,P37,Para1.The paragragh is tell about the riskless arbitrage and I WAS 一头雾水。I can't understand:
1.Why "The hedge of market risk from a negative beta asset has a positive value"?
2.Why the forward price of oil,F,must be less than the expected future price of oil,E(Poil)?

The following is the original：

Oil Price With Positive Beta
In the second case,hedging oil price will decrease the firm's beta,but will also decrease the expected cash flow by the amount of the hedging costs.As we already discussed,for financial transactions that lower a firm's beta,efficient markets insure that the cost for bearing the systematic component of oil price risk avoided by hedging will be equal to the increase in the present value of a barrel of oil at the end of the period from the reduction in the firm's beta.

If this were not true,there will be a possibility for riskless arbitrage.A short forward position in oil would have a  negative beta(since a long position in oil has a positive beta).The hedge of market risk from a negative beta asset has a positive value.Entering into a short forward contract for oil must have a negative expected payoff,so the forward price of oil,F,must be less than the expected future price of oil,E(Poil).If the decrease in expected cash flow per share from selling oil forward at F does not just offset the decrease in beta,an opportunity for riskless arbitrage exists.
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关键词：notes note AIM FRM not 请教

Notes B1,P39,No5:
In equilibrium,if the forward contract price of a firm's output is greater than the expected future price:
A.a short position in the forward contract would produce an arbitrage profit.
B.a long position in the forward contract would produce an arbitrage profit.
C.firm value will be increased by hedging the firm's output value.
D.a long position in the forward contract has a negative beta.

Answer:
D.Since a long forward position has a negative expected return,(promises to buy the asset at F,E(price)),we can conclude that a holder of that the position reduces systematic risk in the absence of arbitrage opportunities.

1.hedge positive beta asset 和 negative beta asset 的操作就是多头和空头的区别，文中应该是在efficient market吧，一般hedge positive beta asset是negative value的，那么另一个就是positive value的。
2.关于F和E(F),在Beta>0时，E(F)=P*(1+E(R))=P*(1+Rf+Beta*(Rm-Rf))=P(1+Rf)+P*Beta*(Rm-Rf),
而F＝P(1+Rf), Rm-Rf>0,Beta>0,所以E(F)>F。这当然是最简单的情况，可以这样理解，虽然期货定价还涉及cost of carry,leasing收入等，但它是不考虑市场风险的，而E(F)还要考虑市场风险，所以要有一个risk premium。

前面的P是spot price，Rm是市场组合的收益，Rf为无风险收益

后面一个问题其实和上面的二是一样的，当F>E(F)，那么因为E(F)=P(1+Rf)+P*Beta*(Rm-Rf)＝F＋P*Beta*(Rm-Rf)，得出来Beta<0

想起来了，比较标的资产价格和利率的相关性时遇到过这个问题。beta为正时即是标的资产与利率正相关。原因就是你所说的远期价格对市场风险的考虑。

但是为何原油价格与利率的相关性会是不确定的呢？欧洲美元与利率负相关，记得原油是正相关