投资学中的CAPM模型讲解.pptVIP

CAPM 与系统风险 ] , ) ( cov[ ) , cov( M i f M i f M i r r r r r r ? ? ? ? ? ? Take covariance with r M ) , cov( ) , cov( ) , cov( ) , cov( M i M f i M M i M f r r r r r r r ? ? ? ? ? ? ? ) , cov( ) , cov( M i M M i r r r ? ? ? ? ? i is uncorrelated with the market! ? 0 ) , cov( ? M i r ? ) , cov( ) , cov( M i M i r r r ? ? ? ) , cov( 2 M M M iM r r ? ? The variance of an asset ) , cov( 2 i i i r r ? ? ] ) ( , ) ( cov[ i f M i f i f M i f r r r r r r ? ? ? ? ? ? ? ? ? ? ? ) var( 2 2 i M i ? ? ? ? ? The risk in r i is the sum of two parts: (1) 2 2 M i ? ? systematic risk. Associated with