投资学敬仰课件5.pptVIP

Preface So far we have learned: 1. Investor hold portfolios to reduce risk. “Non-systematic risks” of individual assets does not matter. only “systematic risks” matter. 2. Investors hold only frontier portfolios. The natural questions to ask next are: 1. How does an individual asset contribute to the risk of portfolios, especially the frontier portfolios? 2. Can we be more specific about what “systematic risk” is? 3. How is an asset’s systematic risk related to its expected return? Capital Asset Pricing Model (CAPM) 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 NORMATIVE ASSUMPTIONS expected returns and standard deviation cover a one-period investor horizon nonsatiation risk averse investors assets are infinitely divisible risk free asset exists no taxes nor transaction costs THE CAPM ASSUMPTIONS ADDITIONAL ASSUMPTIONS one period investor horizon for all risk free rate is the same for all information is free and instantaneously available homogeneous expectations 分离定理 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。 Resulting Equilibrium Conditions 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 Resulting Equilibrium Conditions (cont’d) 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 所有投资者的投资组合中都包含相同的风险资产组合，或者说，在均衡状态、证券价格保持稳定水平时，投资组合应该包含市场上所有的证券。因为，如果组合中不包括某证券，即投资者对该证券的需求为0时，该证券的价格就会下跌，当价格下跌到一定程度[收益率相应上升]时