ch3文档教材资本资产定价模型.pdfVIP

Ch3 Ch3 CML CML β β CAPM CAPM SML SML (risk-free asset ) (risk-free asset ) / / 2 1 σ2=0 1 σ=0 2 σ =0 2 σf i=0 f i … … 1 Fr σ =0 F F ArA σA w w (=1 - w ) w w (=1 - w ) A F A A F A AFPP AFPP r = w r + w r rP= wF rF + wA rA P F F A A = r + w (r -r ) = r + w (r -r ) F A A F F A A F P P E(r )= r + w [Er -r ] E(r )= r + w [