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1、系统风险与资本资产定价模型系统风险SystematicRiskSystematicRisk•Riskfactorsthataffectalargenumberofassets•AlsoknownasnonAlsoknownasnon-diversifiableriskormarketdiversifiableriskormarketrisk•IncludessuchthingsaschangesinGDP,inflation,interestrates,etc.非系统风险UttUnsystematiicRRiiskk•Riskfacto
2、rsthataffectalimitednumberofassets•Alsoknownasuniqueriskandasset-specificrisk•Includessuchthingsaslaborstrikes,partshortages,etc.shortages,etc.Returns•TotalReturn=expectedreturn+unexpectedreturn•Unexpectedreturn=systematicportion+unsystematicportion•Therefore,totalreturn
3、canbeexpressedasfollows:•TotalReturn=expectedreturn+systematicportion+unsystematicportionportion+unsystematicportionDiversification•Portfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectors•Diversificationisnotjustholdingalotofassets•Forexample,ifyou
4、own50internetstocks,youForexample,ifyouown50internetstocks,youarenotdiversified•Howeverifyouown50stocksthatspan20However,ifyouown50stocksthatspan20differentindustries,thenyouarediversifiedThPiThePrinciilpleoffDiDiversification•Diversificationcansubtbstantilltiallyreducet
5、hevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsreductioninexpectedreturns•Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbyexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother•Howeverthereisaminimuml
6、evelofriskthatHowever,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportionsystematicportionDiversifiableRiskDiversifiableRisk•Theriskthatcanbeeliminatedbycombiningassetsintoaportfolio•Oftenconsideredthesameasunsystematic,uniqueorasset-specif
7、icrisk•Ifweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskindustry,thenweareexposingourselvestoriskthatwecoulddiversifyawayTotalRiskTotalRisk•Totalrisk=systematicrisk+unsystematicrisk•Thestandarddeviationofreturnsisameasureoftotalrisk•Forwelld
8、iversifiedportfolios,unsystematicriskForwelldiversifiedportfolios,unsystematicriskisverysmall•Consequen
