????????(CAPM)

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??????????
??
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????????(CAPM)
??Sharpe-Litner-Mossin model 1964
Sharpe?1964?,Lintner?1965??Mossin?1966???????,????
??????????????,????????????,??????????????????????
??,???????????????(capital asset pricing theory)?
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(?)?? 1.?????????? 2.????????????????????
3.?????????????????????? ????????
4.???????????????? 5.???????????????????????
6.???????????-???(Mean- Varience criterion)????
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(?)?????(Capital market line)(CML)
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(?)??????????(separation theorem) ??,????????????
??M?????? Rf ?????,??????????????(Two Fund
Separation Principle) ,????M????????(Market
Portfolio) ,????????????,???????(Weight)??
Vi Wi --------
???? n
? Vi i1
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E(Rp) Wm E(Rm) ( 1 - Wm) Rf ?p
Wm ?p
?Wmgt1? ??????(Borrowing
Portfolio) ??,???????(Buying on
Margin)?? ???,?????????????? ?Wmlt1 ?
??????(Lending Portfoilo)
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(?)?????(The security market line)(SML)
E(Ri)Rf(E(Rm)-Rf)?ßi
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(No Transcript)
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? ???????????????
(?)???????????????(zero-beta CAPM)
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(No Transcript)
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?????? ???????????????????????????????????????????
,???????????????????(Weights),??????????????,?????
??????????????????????????,???????????????????????
??? (????),????????????????????,???????????????,??
?????????????,????????,???????? ????GMB??
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???????M???,?M???????,???????E(RZ),??E(RZ)
????????????,??????????Z?,????Z???????????M???????
??? (Zero-beta Portfolio)?????Z?????M?????????????
???Z???????,?? R1,?R2,???????????M?????????????
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(No Transcript)
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2.??????????
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(No Transcript)
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3.??????????
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(No Transcript)
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4.????????????????????????
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CAPM ??? (?).????(????) (?).???????
(?).???????????? (?).???????? (?).?????????
(?).??????? -- ?????/?????
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??????(Arbitrage Pricing Theory , APT)
(?).APT(arbitrage pricing theory)
?? 1.?????????????????? 2.??????,
??????? 3.?????????????? 4.???????????
(?).?? 1.????market portfolio????? 2.??????-????
????? (?).?? Ross (1976) ???
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(?)APT?CAPM??????? CAPM??,??????????????????
?????,?????????????APT??,?????? ?????????????????,
????????? (Multi- factors Model) (?).??
Ri ai bi1I1 bi2I2 ... bijIi ei
E(Rj) Rf ?1 ?j1 ?2 ?j2 .. ?k
?jk ??, Ii ??(factor) ?k ???
K?????(common factor)????????? ?jk ??? j
???????? k ?????????
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?????,??????????????????,??, ???????????,??? 3 ?
4 ?????????? ???,???? (1) ??????
(2) ????????? (3) ??????????? (4)
????????
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(No Transcript)
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?
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??A?????????????BA11.0,?????????????ßA11.5???,??
A??????,E(R A) 81.041.52
15 ??,??B??????, E(R B)83.041.52
23 ?????????,???C????????18
(82.041.02 18),??,??????,????????????
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????C???????16,???????????????????????????????
?????,??????????????,?????????,???????????????????
?ßp12.0,????????????ßp21.0,?????????C????,??????
????,??????????????18 (2.0121.010-2818),
???C??????16??2,??,????????????C,????????????,??
2??????,??????????,????C?????????18,??????????