资产定价理论.pptVIP

证券投资学之

资产定价理论

蒋冠金融学博士

云南大学投资与保险研究所

jiangguan@

AuctionMarketsDealerMarketsImplicitAuctioneerExplicitAuctioneerSingleDealerMultipleDealerRationalExpectationsKylemodelSequentialtradeSimultaneoustradeGrossman-Stiglitz(1980)Kyle(1985)GlostenandMilgrom(1990)Lyon(1997)TheFrameworksofMicrostructurePricingModel(HongKongStockExchange)(FXMarketsinDC)order-drivenmarketsquote-drivenmarkets(FXMarketsinIFC)(CentralizedorDecentralized)RiskneutralRiskaversionRiskaversion

U.S.InterestRates:1800-1992YearInterest

rate(%)0246810121416180020406080190020406080Long-termratesShort-termrates

YieldsMaturityUpwardSlopingDownwardSlopingFlatYieldCurves

ABCDEFGHIJKV1(c)V2(c)V3(c)cu厌恶型偏好型中立型中立型RiskPreferences

KLNV(c)cV0复合型的风险偏好

ExpectedPortfolioReturn,kpRisk,?pEfficientSetOpportunitySet2.2Mean-VariancePortfolioTheory

RiskReturnwith2AssetsExpectedReturnStandardDeviationStockBStockACorr=+1Corr=-1Corr=0Corr=0.5

EfficientPortfoliosReturnEfficientfrontierMinimumvariancefrontierIndividualassetsSt.Dev.

RiskReturnCombiningRiskfreeLendingwithInvestinginaRiskyAssetSharpeRatioTransformationLine

EfficientFrontierExpectedReturnStandardDeviationEfficientFrontierRfLMVPMarketPortfolioLendingPortfolioBorrowingPortfolioMACBRfBLLBBM’CapitalMarketLine

GraphicalDerivationofBetaforSecuritiesCandD

ComponentsofRiskUsingtheriskpremiumversionofthesingleindexmodel,Wecanwritesi2=bi2sm2+s2(ei)Totalrisk=Systematicrisk+UniqueRisk

DiversificationUnsystematicRisk:“Unsystematicriskisessentiallyeliminatedbydiversification,soaportfoliowithmanyassetshasalmostnounsystematicrisk.”Diversifiablerisk/uniquerisk/asset-specificriskSystematicRisk:Systematicriskaffectsallassetsandcannotbediversifiedaway.Nondiversifiablerisk/marketriskTotalrisk=Systematicrisk+UnsystematicriskForawell-diversifiedportfolio,unsystematicriskisnegligible,almostallriskiss