《Chap009资本资产定价模型》-课件设计（公开）.pptVIP

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 9 The Capital Asset Pricing Model 资本资产定价模型CAPM模型 9-* It is the equilibrium model that underlies all modern financial theory综合所有现代金融理论的均衡模型 Derived using principles of diversification with simplified assumptions利用分散化和简化的原则建立 Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development马克维茨、夏普、林特和莫森逐步发展而来 Capital Asset Pricing Model (CAPM)资本资产定价模型CAPM模型 9-* Assumptions假设 Individual investors are price takers个人投资者都是价格接受者 Single-period investment horizon单期的投资持有期 Investments are limited to traded financial assets投资范围仅限于市场上公开交易的金融资产 No taxes and transaction costs没有税收和交易成本 Information is costless and available to all investors信息是没有费用 Investors are rational mean-variance optimizers投资者都是理性的，都追求资产组合的方差最小化 There are homogeneous expectations同质期望，对经济前景的看法相同 9-* All investors will hold the same portfolio for risky assets – market portfolio所有投资者均持有相同的风险资产-市场组合 Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value市场组合是包含所有证券，而且比例就是它们的市值占据市场总市值的比例 Resulting Equilibrium Conditions导致的均衡关系或者条件 9-* Risk premium on the market depends on the average risk aversion of all market participants市场的风险溢价水平依赖与所有市场参与者的风险厌恶程度 Risk premium on an individual security is a function of its covariance with the market单个证券的风险溢价水平是它和市场的协方差的函数 Resulting Equilibrium Conditions导致的均衡条件 9-* Figure 9.1 The Efficient Frontier and the Capital Market Line有效边界与资本市场线 9-* Market Risk Premium市场的风险溢价 The risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the investor:市场组合的风险溢价正比于风险大小和投资者的风险厌恶情况  9-* The risk premium on individual securities is a function of the individual security’s contribution to the risk of the market portfolio单个证券的合理风险溢价取决于单个资产对投资者的所有资产组合风险的贡献程度 An individual security’s risk p