"I looked at this thing," says Merton, "and I realized that if you did ... dynamic trading ... if you actually [traded] literally continuously, then in fact, yeah, you could get rid of the risk, but not just the systematic risk, all the risk." Not only did the hedged portfolio have zero beta in the continuous-time limit (Merton had initial doubts on this point but they were assuaged), "but you actually get a zero sigma" that is, no variance of return on the hedged portfolio (Merton interview).

Donald MacKenzie, An Engine, Not a Camera, loc. 599