投资金融学方面的书籍foassetpricing4.pdfVIP

Chapter IV. Static Asset Pricing Models hile the CAPM has been, and despite its limitations, still is, the most popular asset pricing model, there Wis a variety of other asset pricing models that deserves attention. Many of these are variations of the basic CAPM. Here we will discuss only these models that are static in nature as is the basic CAPM. 1. THE CAPM WITH NON-MARKETABLE HUMAN CAPITAL ere we drop assumption 6 of section III.1(b) that all assets owned by an investor are marketable. Clearly Hthis assumption is violated for human capital. As “indentured servitude” is illegal nowadays in most countries, one is not allowed/able to sell one’s future labor. Quantitatively, the impossibility of trading one’s human capital may be quite important. Consider for instance a 30-year old, earning an annual salary of $50,000. Typically, this individual may have accumulated savings (investable non-human wealth) of no more than $100,000 including a pension plan, but excluding the equity in a home which cannot be invested. However, the real present value of the individual’s life-time salary (human wealth) may be in the order of magnitude of $1,000,000. Thus, no more than around 10% of total wealth is marketable for this typical 30-year old. Clearly, this 30-year old individual, in choosing how to invest the $100,000 of investable wealth, will not so much be concerned with market risk as with hedging the uncertainty in life-time earnings. On the other hand, a 65-year old will be much more concerned with market risk and may have very little remaining uncertainty in non-financial life- time earnings. It is then immediately clear that the Mutual Fund Theorem of the simple CAPM should fail. Not all individuals will hold the same portfolio of risky assets.