投资学课件Chapter5的.pptVIP

Chapter 5;Preface; Capital Asset Pricing Model (CAPM) ;Equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development;THE CAPM ASSUMPTIONS;THE CAPM ASSUMPTIONS;一个投资者的最佳风险资产组合，可以在并不知晓投资者对风险和回报率的偏好时就加以确定。即在确定投资者无差异曲线之前，我们就可以确定风险资产的最佳组合。 ;All investors will hold the same portfolio of risky assets – market portfolio Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value The market portfolio is on the efficient frontier and, moreover, it is the tangency portfolio;Risk premium on the market depends on the average risk aversion of all market participants Risk premium on an individual security is a function of its covariance with the market;Market portfolio;消极策略是有效的;Capital Market Line;Slope and Market Risk Premium;CML举例;The risk premium on individual securities is a function of the individual security’s contribution to the risk of the market portfolio Individual security’s risk premium is a function of the covariance of returns with the assets that make up the market portfolio;The Risk of an Individual Asset1;The Risk of an Individual Asset2;Security Market Line;??????????????????? ?= Cov(ri,rM) / ?m2 Slope SML = E(rM) - rf = market risk premium E(r i) = rf + ?[E(rM) - rf] BetaM = Cov (rM,rM) / sM2 = sM2 / sM2 = 1 ;E(rm) - rf = .08 rf = .03 a) ?x = 1.25 E(rx) = .03 + 1.25(.08) = .13 or 13% b) ?y = .6 E(ry) = .03 + .6(.08) = .078 or 7.8%;Graph of Sample Calculations;Disequilibrium Example;Suppose a security with a ? of 1.25 is offering expected return of 15% According to SML, it should be 13% Under-priced: offering too high of a rate of return for its level of risk 真实预期收益与正常预期收益之差，即预期收益率与证券市场线所显示的公平收益率，我们将其称为a系数，该例中的a=2%。 因此，SML为评估投资业绩提供了一个基准。一项投资的风险确定，以? 侧度其投资风险，SML就能得出投资者为补偿风险所要求的预期收益率与时间价值。;CML与SML;Understan