第二节风险和报酬.PDFVIP

第二节　风险和报酬 The Capital Asset Pricing Model risk unique risk number of market risk different shares in portfolio 五、The Capital Asset Pricing Model Total risk of return: diversifiable risk + non-diversifiable risk firm-specific risk + market-wide risk unsystematic risk + systematic risk The amount of systematic risk an asset exposes its holder to is measured by a variable called its beta.denoted by the greek letter β. （二）风险的抵销与计量 五、资本资产定价模型 CAPM：研究在充分组合情况下，风险与要求 的收益率之间的均衡关系 1.风险：预期报酬率的不确定性 2.风险种类：系统风险 非系统风险 3.只有系统风险 才能得到补偿 4.系统风险 如何衡量？ 5.系统风险 得到多少补偿？ The Capital Asset Pricing Model  r = rate of return on stock j j  r = risk-free rate of return f  r =rate of return on the market portfolio m  beta ( β) is the relevant measure of systematic risk for that stock assuming diversification. SML-the security market line r j SML M ● r m Slope:(r -r) m f rf β β=1 m The Capital Asset Pricing Model  (r -r) m f The risk premium required to hold an individual stock is β (r -r)　 . m f A sto