[企业管理]资产定价理论.ppt

证券投资学之资产定价理论 蒋 冠 金融学博士云南大学投资与保险研究所 jiangguan@ The Frameworks of Microstructure Pricing Model U.S. Interest Rates: 1800-1992 Yield Curves 2.2 Mean-Variance Portfolio Theory Risk Return with 2 Assets Efficient Portfolios Combining Riskfree Lending with Investing in a Risky Asset Efficient Frontier Graphical Derivation of Beta for Securities C and D Components of Risk Using the risk premium version of the single index model, We can write si2 = bi2 sm2 + s2(ei) Total risk = Systematic risk + Unique Risk Diversification Unsystematic Risk: “Unsystematic risk is essentially eliminated by diversification, so a portfolio with many assets has almost no unsystematic risk.” Diversifiable risk / unique risk / asset-specific risk Systematic Risk: Systematic risk affects all assets and can not be diversified away. Nondiversifiable risk / market risk Total risk = Systematic risk + Unsystematic risk For a well-diversified portfolio, unsystematic risk is negligible, almost all risk is systematic Portfolio Diversification Systematic Risk Systematic risk can not be eliminated by diversification. Since unsystematic risk can be eliminated at no cost, there is no reward for bearing it. Systematic Risk Principle: “The expected return on an asset depends only on its systematic risk.” Measuring Systematic Risk: Beta or ? Beta measures how much systematic risk an asset has relative to an average asset.? aggressive stocks(?1); defensive stocks (?1) Higher betas indicate more systematic risk. Measuring the Tendency of Betas Portfolio Selection Risk Aversion Optimal Allocation We have shown that different investors will choose different positions in the risky asset. In particular, the more risk averse investors will choose to hold less of the risky asset and more of the risk-free asset. How do we quantify this? We start from the utility function of the investor: Optimal Allocation The investor attempts to maximize her utility level, by choosing the best allocation to the risky