十二章風险资产的定价.pptVIP

第十二章 风险资产的定价 资本市场线反映的是资产组合作为一个整体的风险与收益的关系，无法展现出每一证券本身的风险与收益关系。本章的资本市场均衡理论将回答在市场处于均衡情况下每一证券风险与收益的关系。 第一节 资本资产定价模型(Capital Assets Pricing Model)(CAPM) 由美国经济学家William F.Sharpe(1990诺贝尔经济学奖获得者）John Lintner和Jan Mossin分别独自提出。 〔1〕William Sharpe,“ Capital Asset Prices:A Theory of Market Equilibrium,”Journal of Finance,September 1964. 〔2〕 John Lintner , “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,”Review of Economics and Statistics,February 1965. 〔3〕 Jan Mossin, “Equilibrium in a Capital Asset Market,”Economet