Capital-Asset--Pricing-Theory-资本资产价格理论.doc

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1、Chapter13CapitalAssetPricingTheoryLearningObjectives·Capitalmarketline(CML)·CapitalAssetPricingModel(CAPM)·BetacomparedtoStandardDeviation·ApplyingCAPMtosecurityanalysis·EstimatingBeta·Beta-goodnewsandbadnewsCapitalAssetPricingModel(CAPM)·Equationthatqu

2、antifiessecurityriskanddefinesarisk/returnrelationship·Basedontheideathatinvestorsacceptahigherriskonlyforahigherreturn·Otherassumptionsarenotrealistic,butnecessarytodevelopthemodelAssumptionsoftheCAPM·Investorshaveequalinformationandperceptions,leading

3、toequalexpectations·FrictionlesscapitalmarketsNotransactioncostsNotaxesPortfoliosmaybedividedamongsecuritiesinanyproportionforoptimization·Investorsarerationalandseektomaximizetheirexpectedutilityfunctions·Allinvestmentisforthesametimeperiod·Allinvestor

4、scanborroworlendattherisk-freerateEfficientFrontierandtheOptimalRiskyPortfolio·Theefficientfrontierisaseriesofportfoliosrepresentingthehighestreturnforagivenlevelofriskorthelowestriskforagivenexpectedreturn·Anyindividualsecuritywilllieinsidetheefficient

5、frontier,butmaybeapartofportfoliosontheefficientfrontier·Choosingtheoptimalefficientfrontierdependsonindividualpreferencesforriskandreturn·Measuringriskaversionandutilitycurvesstillwon’tprovideanobjectiveportfoliochoiceDevelopingtheCapitalMarketLine(CML

6、)ERp=(X)ERp1+(1-X)RFSDP=(X)SDP1Combinationsofrisk-freeassetsandriskyportfolioscanbeusedtocreateportfoliosalongalineconnectingtheapexoftheefficientfrontierandtherisk-freerateTheCapitalMarketLine(CML)·Describesthepercentageholdingsintheriskfreeassetandthe

7、riskydiversifiedmarketportfolio,surpassingtheefficientfrontierexceptatthepointofintersection·UtilitycurvesmaycrosstheCML,indicatingappropriateportfolioselections·Borrowing-lendinglineistheCML,dividedwhereitintersectstheefficientfrontier(pointM)withthele

8、ndinglineontheleftandborrowingontheright·Portfolioseparationtheoremallowsinvestorstoseparatethedecisionofselectingtheriskyportfoliofromtheinvestor’sriskpreferenceMarketPortfolioTheMarketPortfolio(pointM)mustbetheonlyriskyportfoli