投资学CHPT09-CAPM.pptVIP

Beta of portfolio For a portfolio , its market beta is For simplicity: consider two risky assets A and B with market betas , what is the beta of a portfolio of A and B? Empirical implementation of CAPM Actual implementation of CAPM involves the following steps: 1. Construct a proxy for the market portfolio ---value-weighted market index, SP 500 ect. 2. Estimate the current risk-free rate ---treasuries securities . 3. Estimate the premium on the market portfolio --- 4. Estimate the market betas of the individual asset