指數(shù)模型和套利定價理論-閱讀頁
2024-11-03 19:13本頁面
【正文】 systematic factor Firm’s or unsystematic factor Exogenous ? ?E ei ? 0? ? ? ?E r r E Gi f i i? ? ?? ?00 系列1?i ? 4%?i ? 2? ? %5?GE? ? %14%52%4 ????? fi rrE%%%4%136)6(6???????? eGrr iif ??% ?e5 ? Covariance ? ? ? ?i i G ei2 2 2 2? ?Systematic risk Unsystematic risk ? G2 0 0003? . ?ei?00 ?i?? ? ? ?ij i j G? 2?j ? 42?i?? ij ? ? ? ?2 4 0 0003 0 0024. .6 — Market Model CAPM is a special case of SingleIndex Models taking as the factor. fM rr ?? ?r r r r ei f i i M f i? ? ? ? ?? ?Mi ?100???MMMe??? ? ? ? ? ?iM i M M i M? ?2 2? ??i iMM? 2? ? ? ?? ?E r r E r ri f i i M f? ? ? ?? ?? ? ? ?? ?E r r E r ri f i M f? ? ??CAPM: The market is at equilibrium ?i ? 07 ? Can you beat the market? If you can find a portfolio manager with a positive you can beat the market! ??rfM?CML ?? ?Er0 1. The hyperbola through A and M cannot be tangent to the efficient frontier 2. The point A cannot be located on the efficient frontier 8 MultiIndex Models ? The Mini Case r r G I ei f i iG iI i? ? ? ? ?? ? ?Growth of GDP Inflation Firm’s or unsystematic factor ? i ? 5 8%.?G ? 2 2.?I ? ? 0 7. %13%10%%%666)6()6(6??????????????eeeIGrr iIiGif ???%36 ?e9 ? Covariance ? ?? ? ? ? ? ? ? ?i iG G iI I iG iI eiG I2 2 2 2 2 22? ? ? ?cov ,? G2 0 0003? .? I2 0 00029? .? ?cov , .G I ? 0 000065? ei2 0 00152? .? i2 0 00291? .? i ? 0 0540.10 — More About Arbitrage A riskless arbitrage opportunity exists if and only if either: 1. Two portfolios can be created that have identical payoffs in every state but have different costs。 or 2. Two portfolios can be created with equal costs, but where the first portfolio has at least the same payoff as the second in all states, but has a higher payoff in at least one s
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