投资学Chapter7.pptVIP

Chapter 7 Capital Asset Pricing and Arbitrage Pricing Theory Resulting Equilibrium Conditions I : Optimal risky portfolio is market portfolio All investors will hold the same portfolio for risky assets; the “market portfolio Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value（市值加权的组合） Logical Thinking CAPM implies that passive strategy is efficient Mutual fund theorem- only one mutual fund of risky assets- the market portfolio-is sufficient to satisfy the investment demands of all investors Two steps: (1) technical part, an efficient mutual fund is found ( here is market portfolio ) (2)a personal side, in which an investor’s risk aversion determines the allocation of the complete portfolio between mutual fund and risk-free asset. II: Capital Market Line In equilibrium there will be a simple linear relationship between the expected return and standard deviation of return for efficient combination of risky assets which implied by CML (在市场均衡时最优完整组合（risky portfolio+risk free asset) 的风险和收益将满足一种简单的线性关系，对有效组合而言，风险越大，收益越大) 有效组合的风险补偿与该组合的风险成正比例变化，其比例因子是： The Risk Premium of the Market Portfolio Equilibrium risk premium of the market portfolio , E(rm)-rf, will be proportional to average degree of risk aversion across investor and to the risk of the market portfolio,σ. When investors purchase stocks, their demand drive up prices, thereby lowering expected return of risk premium, if the risk premium falls ,then relatively more risk-averse investors will pull their funds out of the risky portfolio, placing them to risk free asset . In equilibrium , the risk premium on the market portfolio must be just high enough to induce investors to hold the available supply of stocks. Expected Return and Risk on Individual Securities What type of individual security risk will matter？ Non-systematic risk can be reduced to zero through diversification,