The Capital Asset Pricing Model (CAPM) - PowerPoint PPT Presentation

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The Capital Asset Pricing Model (CAPM)

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Title: The Capital Asset Pricing Model (CAPM)


1
?????? ?????????????? ?????? ??????? ??????????
???????????? ????????
  • ???????????
  • ?????? ?. ?.
  • ??????? ????????????
  • ?????????, ?.?.?. ??????? ?.?.

2
The Capital Asset Pricing Model (CAPM)
  • ??????????? Sharpe ? Lintner (1965)
  • ????????? ????????? ?????????? ?????? ? ????
    ?????? ???????????????? ?????.

3
??????? ?????? ????
  • ????????, ????????? ? ???????????? ?????????
    ????????
  • ???????? ???????????? ?????????? ???? ??? ?????
    ????????
  • ????????? ??????????? ? ??????????? ???? ??
    ???????
  • ????????? ??????????? ? ?????????? ??????
    ????????????? ??????????? ? ???????????? ?????
    ??????????, ??????? ????????????? ?????????
  • ????????, ????????? ? ???, ??? ?????????
    ????????????? ?? ?? ?????????????, ? ?????? ????.

4
??????? ????????, ????????? ? ??????????
??????????
  • ???????????? ?????????????
  • ?????????
    ?????????
  • ????????????
  • ????????????? ????????????? ????????? ???????????
    ??? ????????? ?????????????? ?????????? ?????
    ??? ????????????, ??? ? ??????????????.
  • ????????????? ????????? ???????? ??????????,
    ??????????????? ????? ???????????????? ???????
    ????????????? ?????????? ? ?????????????
    ???????????

??????
5
?????? ES-CAPM Hogan ? Warren (1974)
  • ????????????? ???? (HW-beta) ??????????? ??
    ???????
  • ??? Ri - ?????????? ?????? ?????? i, Rm
    ?????????? ?????????
  • ????????, Rf - ??????????? ??????
  • ?????? ES-CAPM Hogan ? Warren (1974) ?????
    ????????? ????????? ???????

?????????? ????????? ????????
??????????? ??????
????????????? ???? (HW -beta)
6
?????? MLPM Bawa ? Lindenberg (1977)
  • ???????? ?????????????? ???????????? ????
    (BL-beta) ??????????????? ?? ????????? ???????
  • ??? ki - ?????????? ?????? i, kM
    ?????????? ????????? ????????,
  • kf ??????????? ??????.
  • ?????? MLPM Bawa ? Lindenberg (1977) ?????
    ????????? ????????? ???????

7
?????? MLPM Harlow ? Rao (1989)
  • ????????????? ???? (HR-beta) ??????????? ??
    ???????
  • ??? µi ??????? ?????????? ??????, µM
    ?????????????? ??????????.
  • ?????? MLPM Harlow and Rao (1989) ?????
    ????????? ????????? ???????

?????????? ????????? ????????
??????????? ??????
????????????? ???? (HR-beta)
??????????? ??????
8
?????? DCAPM ?. ??????? (2002)
  • ?????????? ????????? ??????? ?? ???????? ????????
    E(ki) ? ????????????? ????????? ?????????
    ?????????? ???????? U U (µp, S2p), ??? S2p -
    ?????????? ????????????? ????????? ??????????
    ??????????????? ????????
  • ????????????? ??????????? ???? ßd ????????
    ??????????
  • ???????? ????????? ?????? ?. ??????? DCAPM
    ???????? ????????? ???????

??? MRP ???????? ?????? ?? ????, Rf
??????????? ??????
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