TheCapitalAssetPricingModel幻灯片.pptVIP

Interpretation The expected return on a security is the sum of: The risk-free rate The sensitivity to GDP times the risk premium for bearing GDP risk The sensitivity to interest rate risk times the risk premium for bearing interest rate risk Arbitrage Pricing Theory Arbitrage occurs if there is a zero investment portfolio with a sure profit. Since no investment is required, investors can create large positions to obtain large profits. Arbitrage Pricing Theory Regardless of wealth or risk aversion, investors will want an infinite position in the risk-free arbitrage portfolio. In efficient mar