ppt课件-风险回报的扩展（ riskand return extensions）.pptVIP

Chapter 3 Risk and Return: Part II Topics in Chapter Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient Frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is 0.35, what are the expected return and standard deviation for a portfolio comprised of 30 percent Asset A and 70 perce