What Scholes could not work out, however, was how to construct a zerobeta portfolio. He could see that the quantity of shares that had to be sold short must change with time and with changes in the stock price, but lie could not see how to determine that quantity. `After working on this concept, off and on, I still couldn't figure out analytically how many shares of stock to sell short to create a zero-beta portfolio." (Scholes 1998, p. 480) Like Black, Scholes was stymied.

Donald MacKenzie, An Engine, Not a Camera, loc. 577