Chap资本资产定价模型.pptx

Chap资本资产定价模型第1页/共24页 9-2Assumptions假设Individual investors are price takers个人投资者都是价格接受者Single-period investment horizon单期的投资持有期Investments are limited to traded financial assets投资范围仅限于市场上公开交易的金融资产No taxes and transaction costs没有税收和交易成本Information is costless and available to all investors信息是没有费用Investors are rational mean-variance optimizers投资者都是理性的，都追求资产组合的方差最小化There are homogeneous expectations同质期望，对经济前景的看法相同第2页/共24页 9-3All investors will hold the same portfolio for risky assets – market portfolio所有投资者均持有相同的风险资产-市场组合Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value市场组合是包含所有证券，而且比例就是它们的市值占据市场总市值的比例Resulting Equilibrium Conditions导致的均衡关系或者条件第3页/共24页 9-4Risk premium on the market depends on the average risk aversion of all market participants市场的风险溢价水平依赖与所有市场参与者的风险厌恶程度Risk premium on an individual security is a function of its covariance with the market单个证券的风险溢价水平是它和市场的协方差的函数Resulting Equilibrium Conditions导致的均衡条件第4页/共24页 9-5Figure 9.1 The Efficient Frontier and the Capital Market Line有效边界与资本市场线第5页/共24页 9-6Market Risk Premium市场的风险溢价The risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the investor:市场组合的风险溢价正比于风险大小和投资者的风险厌恶情况 第6页/共24页 9-7The risk premium on individual securities is a function of the individual security’s contribution to the risk of the market portfolio单个证券的合理风险溢价取决于单个资产对投资者的所有资产组合风险的贡献程度An individual security’s risk premium is a function of the covariance of returns with the assets that make up the market portfolio.单个资产的风险溢价也取决于这个资产与市场组合资产的协方差水平Return and Risk For Individual Securities单个证券的收益与风险第7页/共24页 9-8GE Example通用电气公司的案例Covariance of GE return with the market portfolio:通用收益与市场组合协方差Therefore, the reward-to-risk ratio for investments in GE would be:收益风险比为第8页/共24页 9-9GE Example通用电气公司的案例Reward-to-risk ratio for investment in market portfolio:投资市场组合的风险收益比Reward-to-risk ratios of GE and the market portfolio shoul