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资本资产定价模型CAPMppt课件.ppt

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FoundationsofFinancialAnalysisandInvestmentsToday‘slectureTheportfolioconsistsoftworiskyassetsD(debt)andE(equity) Theirweightsintheportfolioare Weconstructriskyportfoliosvarying toprovidethelowestpossibleriskforanygivenlevelofexpectedreturn E(rp)=wDE(rD)+wEE(rE) 1.Briefrevision:Lecture2Diversifiable(nonsystematic)riskvsundiversifiable(systematic)riskSponsorsUnlimitedborrowingandlendingatarisk-freerate: Risklessassetisanassetwithacertainreturnforthegiventimehorizon. Forexample:USTreasurybondsthatautomaticallyadjustforinflation(TIPS:Treasuryinflationprotectedsecurities)orshorttermUSTreasurybills(UST-bills) Standarddeviationofthereturn:σ=0 IfyouinvestinassetHandrisklessasset:xHandxf=1-xHCombiningequationsforportfolioreturnandrisk,weobtain: ErH-Rf σH SharperatioofassetH: (12%-5%)/40%=0.175UseofSharperatioinpractice: Shaperatioisusedtomeasuretheperformanceofaportfolio Advantage:theriskadjustedperformancemeasurementSharperatioofH<SharperatioofM Thecombinationofrisk-freeassetandMdominatesthecombinationofrisk-freeassetandHHowmuchofeachriskyassetshouldoneholdintheportfolio?Incaseofmanyriskyassets: UseofTobinseparationinpractice: CapitalMarketLine(CML)=setofpotentialallocationsbetweenariskyassetandano-riskyasset(oraportfoliothatcontainsonlyriskyassetsandrisk-freeassets)3.MPTandCAPM:preliminaryremarksThemodelgivesusaprecisepredictionoftherelationshipthatweshouldobservebetweentheriskofanassetanditsexpectedreturninequilibrium FunctionsoftheCAPMmodel: Toprovideabenchmarkrateofreturnforevaluatinginvestments(“fair”returngivenarisk) Tomakeaguessfornewsecurities(e.g.,IPOs) TomeasuretheriskofanindividualsecurityAllinvestorsaremean-varianceoptimizersandestimatetheirportfoliosaccordingtoE(R)andvariance(allMPTassumptionsapply) AllinvestorshavehomogeneousexpectationsconcerningE(R),VarianceundCovariances(everyinvestorhasthesamerisk-returnexpectationforanygivenstock)identifyefficientfrontier Capitalmarketsareperfect(allassetsareinfinitelydivisable,therearen