.投资学第六章.pptVIP

套利定价理论 新投资组合的期望收益必须为无风险利率 β为0, 无系统风险; 充分分散，无非系统风险. 套利定价理论 整理可得: 充分分散投资组合的风险溢价与其β成比例. 套利定价理论（方程） 例子 Suppose the risk free rate is 4%. A well-diversified portfolio, A, has beta of 1 and expected return of 10%. Suppose another well-diversified portfolio, C, has beta of 0.5, and expected return of 6%. Are there any arbitrage opportunities? 套利机会 E(r)% Beta for F 10 7 6 Risk Free 4 A D C .5 1.0 套利机会 卖空组合 C 应用获得的资金购买组合D. D is composed of half of A and the rest in a Risk-Free Asset, its beta will be 0.5(0)+0.5(1)=0.5, its expected return will be 0.5(4)+0.5(10)=7% Arbitrage profit of 1% To pr