【正文】 資本資產定價理論（ CAPM） ? 一、 CAPM 的假定 ? evaluate portfolios by looking at the expected returns and standard deviations of the portfolios over a oneperiod horizon. ? are never satiated, so when given a choice between two portfolios with identical standard deviations, they will choose the one with the higher expected return. 第三節(jié) 資本資產定價理論（ CAPM） ? 一、 CAPM 的假定 ? are riskaverse, so when given a choice between two portfolios with identical expected returns, they will choose the one with the lower standard deviation. ? assets are infinitely divisible, meaning that an investor can buy a fraction of a share if he or she so desires. 第三節(jié) 資本資產定價理論（ CAPM） ? 一、 CAPM 的假定 ? is a riskfree rate at which an investor may either lend (that is, invest) or borrow money. ? and transaction costs are irrelevant. 第三節(jié) 資本資產定價理論（ CAPM） ? 一、 CAPM 的假定 ? investors have the same oneperiod horizon. ? riskfree rate is the same for all investors. ? is freely and instantly available to all investors. 第三節(jié) 資本資產定價理論（ CAPM） ? 一、 CAPM 的假定 ? have homogeneous expectations, meaning that they have the same perceptions in regard to the expected returns, standard deviations, and covariances of securities. 第三節(jié) 資本資產定價理論（ CAPM） ? 二、 分離定理（ separation theorem） ? The optimal bination of risky assets for an investor can be determined without any knowledge of the investor’s preference toward risk and return. ? The risky portion of all investors’ portfolios will be the same. 第三節(jié) 資本資產定價理論（ CAPM） ? 三、 市場組合（ the market portfolio） ? The market portfolio is a portfolio consisting of all securities in which the proportion invested in each security corresponds to its relative market value. The relative market value of a security is simply equal to the aggregate market value of the security divided by the sum of the aggregate market values of all securities. 第三節(jié) 資本資產定價理論（ CAPM） ? 三、 市場組合（ the market portfolio） ? 市場組合 M是證券市場和資金市場都處于均衡狀態(tài)時的切點組合 T（ tangency portfolio）。第六章 證券投資理論 第一節(jié) 純風險資產組合的收益與風險 ?一、組合收益與風險的計算 ? 1. ? 2. rXrXrXrXrNNiNiip???????? ??22111)(1 12/1?????NiNjijji XXp ??第一節(jié) 純風險資產組合的收益與風險 ?一、組合收益與風險的計算 2/12233221122233222222112111331122121212/1)(1 1)(??????????????NNNNNNNNNNNNpXXXXXXXXXXXXXXXXXXXXXXXNiNjijji????????????????????????????????????????第一節(jié) 純風險資產組合的收益與風險 )0,1()(1 112/122333222111222322332222212211211121133121122121212/1)(?????????????????????????????????????????????XXXXXXXXXXXXXXXXXXXXXXXXXiijiNiiNNNNNNNNNNNNNNNNNpNiNjijji??????????????????????????????????第一節(jié) 純風險資產組合的收益與風險 ?一、組合收益與風險的計算 ???? jiijij ?????? 2iiiiiii ??第一節(jié) 純風險資產組合的收益與風險 )( 22 rr iiEi ???)])([( rrrr jjiiij E ????第一節(jié) 純風險資產組合的收益與風險 ? Given the following variancecovariance matrix for three securities, as well as the percentage of the portfolio for each security, calculate the portfolio’s standard deviation. ? Security 1 Security 2 Security 3 ? Security 1 ? Security 2 ? Security 3 ? X1=.2325 X2=.4070 X3=.3605 ??????????0 0 0,10/2 8 90 0 0,10/1 0 40 0 0,10/1 4 50 0 0,10/1 0 40 0 0,10/8 5 40 0 0,10/1 8 70 0 0,10/1 4 50 0 0,10/1 8 70 0 0,10/1 4 6第一節(jié) 純風險資產組合的收益與風險 2/13333322331132332222221121331122111112/1)(1 1)(???????????XXXXXXXXXXXXXXXXXXXXNiNjijjip??????????????第一節(jié) 純風險資