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英国留学生论文:资本资产定价模型(CAPM) Capital Asset Pricing Model (CAPM)

时间:2017-10-16 14:36来源:www.ukthesis.org 作者:英国论文网 点击联系客服: 客服:Damien
通过对早期理论的研究,我们知道基础安全的风险是由其回报或回报的标准差来衡量的。因此,对于较大的风险,我们将有较高的标准偏差的各自的安全回报。任何证券回报的标准偏差是添加剂如果他们结合在一起,除非这两资产收益完全正相关。他还指出,投资组合的证券收益的标准偏差小于构成投资组合的资产的标准差之和。马科维茨提出的投资组合的有效前沿,从那里的投资者选择最适合自己的投资组合的有效集。 从技术上讲,投资者将持有一个均值方差有效的投资组合,在给定的方差水平下,回报率最高。马科维茨的计算是非常严格和繁琐的。夏普开发了单指数模型,计算效率高。他推导出一个常见的索引,其中资产返回与公共索引相关。这一共同指标可以是影响资产收益率的任何变量。我们也可以把这个单一的指数模型应用到投资组合中,因为投资组合的预期收益是投资组合的预期收益的加权平均值。
 
1. Introduction 简介
Markowtiz (1952) did the ground work for the CAPM (Capital Asset Pricing Model). From the study of the early theories we know that the risk of an underlying security is measured by the standard deviation of its pay off or return. Therefore, for a larger risk we will have higher standard deviation of the respective security return. Markowtiz argued that the standard deviations of security returns for any two securities are not additive if they are combined together unless the returns of those two assets are perfectly positively correlated. He also observed that the standard deviation of security return of a portfolio is less than the sum of the standard deviation of those assets constituted the portfolio. Markowitz developed the efficient frontier of portfolio, the efficient set from where the investors select the portfolio which is most suitable for them. Technically, an investor will hold a mean-variance efficient portfolio which will return the highest pay off to them with a given level of variance. Markowitz’s computation of risk reduction is very rigorous and tedious. Sharpe (1964) developed the single index model which is computationally efficient. He derived a common index where the asset return is related with the common index. This common index can be any variable which has influence on the asset return. We can apply this single index model to the portfolio as well since the expected return of a portfolio is the weighted average of the expected returns of the constituents of the portfolio.
 
When we need to analyze the risk of an individual security, we have to consider the other securities of the portfolio as well. Because, we are interested about the additional risk being added to the portfolio when one addition security is added to the portfolio. Thus the concept of risk share of an individual security to the portfolio is different from the risk of that security itself. An investor faces two kinds of risks. One is called the systematic risk and the other is known as unsystematic risk. Unsystematic risk is a kind of risk which can be minimized or eliminated by increasing the size of the portfolio, namely, by increasing the diversity of the portfolio. The systematic risk is well known as the market risk. Because, it depends on the overall movement of the market and the financial condition of the whole economy. By diversifying the portfolio, we cannot eliminate the systematic risk.(责任编辑:BUG)


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