The Capital Asset Pricing Model (CAPM)

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• The Capital Asset Pricing Model (CAPM)

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10.1 ?????

• ??????? ????????? ????????????? ???????
  ??????????????
• ??????????? ?????????
• ???????? ?? ??. ???????
• ?????????? ?? ????????? (???????? ???? ?????????
  ?? ????????? ???????????)

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10.2 ??????????? ?????????, ???????? ?? ??????????

• ?????????? ??? ???????? ?????? ?? ???????????
  ??????????? ???????????? ??????????.

4
??????????? ?????????
5
??????????? ?????????
6
????????
7
????????
8
??????????? ???????
9
??????????
10
?????????
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10.3 ????????? ????????? ?? ??????????
??????? ???? ?????? ?????????? ????? ???????????,
????? ?????? ???????. ????????, ??? ????????? 50
????????? ???????????? ?? 50 ????????.
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????????
????????? ???? ???????? ?????? ??????? ??
?????????? ??????? ?????????????
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????????
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????????
????????? ???????? ????
???? ?BS ???? ?????????? ???????????.
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????????
?????????? ?????????????? ???????? ?????
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10.4 ????????? ??????????
100 stocks
100 bonds
????????? ?????? ?????-?????????? ????????????
????????? ?????????? ???????????
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????????? ????????????
100 stocks
100 bonds
??????????, ??? ???????? ???????????? ????????,
?????? ?????? ???? ?? ????? ????????? ????????
?????? ?????????
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?????????? ???????????
100 stocks
return
? -1.0
? 1.0
? 0.2
100 bonds
?

• ??????? ????????????? ?????????? ????????????
• -1.0 lt r lt 1.0
• If r 1.0, ?????? ????????? ???????????
• If r 1.0, ?????? ?????? ????????? ????
  ???????????

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10.5 ????? ??????
return
????????????? ????????
?P

• ?? ????????? ????????? ????????? ???? ?????, ????
  ????? ????????? ????????? ??????????? ?????.

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????????? ????????????? ????????
return
????????? ?????
???????? ?????????? ?????????
????????????? ????????
?P

• ????????? ?????????? ????????? ????? ????????????
  ???? ?????????.

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????????????? ?? ????????? ?????

• ????????? ??????????????? ???????????? ??????
  ????????????? ?????????.
• ?????? ????????? ???????????? ?????? ????????
  ?????? ???????????? ???? ????????? ?????????????
  ???????? ?????? ???????????? ?????? ??????????.
• ?????, ???????? ?????? ????, ?????? ?????????
  ???????????. ???? ????? ???????? ????? ????????

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????????? ????? ?? ???????? ?????????
?
????????????????? ????? ???-????????? ?????
?????? ?????
????????? ?????
???????????????????? ????? ????????? ?????
??????? ?????
n
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????????? ???????

• ????-?????????, ???????? ????? ?????????
  ????????? ??? ??????????
• ????? ???????? ???-????????????????? ?????? ??
  ??????? ?????? ????????????
• ??????? ???? ????????? ????????? ???????? ???,
  ??????????, ?????????? ??????????, ?? ?.?.

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???-????????? ???????

• ????-?????????, ???????? ????????? ??????????
  ???????? ????????? ??????? ??????????
• ??????? ?????????, ????????? ????????, ?? ?.?.
• ??????? ?????? ????????? ???????????? ?????????
  ????????????? ????? ????????? ????????? ???????

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??????? ?????

• ??????? ????? ????????? ????? ???-?????????
  ?????
• ????????? ??????????? ??????? ???? ??????? ??????
  ??????.
• ?????? ????????????????? ?????????????,
  ???-????????? ????? ?????? ??????.

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?????????? ???????? ?????? ???????
return
100 stocks
rf
100 bonds
?

• ????????????? ?? ???????? ????? ????????, ???
  ???????? ?????? ??????, ????????? ??????????
  ???????????? ???????????

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10.7 ?????? ??????? ?? ?????????
CML
return
100 stocks
Balanced fund
rf
100 bonds
?

• ??????????? ???????? ?????????? ???????? ????????
  ?????? ???????? ?? ????????????? ?????????
  ????????

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?????? ??????? ?? ?????????
CML
return
efficient frontier
rf
?P
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10.8 ??????? ???????????
return
CML
efficient frontier
M
rf
?P

• ?? ????? ????????? ?????????? ???????? ????,
  ????? ??????? ??????????? ???????? M ????????

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??????? ???????????
CML
return
100 stocks
Balanced fund
rf
100 bonds
?

• ????? ??????? ??????? ????????? CML ????????
  ????????????? ?????????? ?????? ??????????
  ????????. ?????, CML ????? ??????????????
  ?????????

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??????? ????

• ????????? ????????? ??????????, ??? ??? ?????????
  ??????? ??????????? ??????? ????? ???????????
  ???? ??????? ???? (b).
• ???? ?????? ??????? ????????????? ???????
  (?????????) ?????? ??????.

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b ???????? ????????? ??????????
Security Returns
Return on market
Ri a i biRm ei
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????? ???????
?????? ????? ??????????? ????????????? ?????????
?? ????????? ??????? ???????? ??????.
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10.9 ????? ?? ?????????? ????????? ????? ???????
(CAPM)

• ??????????? ??????? ?????????

• ??????????? ????????? ???????????? ???????

??????? ?????? ??????
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?????? ??????????? ?????????

• Capital Asset Pricing Model (CAPM)

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??????? ?????? ?? ????????? ?????
Expected return
b
1.0
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??????? ?????? ?? ????????? ?????
Expected return
b
1.5
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