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1、CorporateFinanceRossWesterfieldJaffeSixthEditionSixthEdition10ChapterTenTheCapitalAssetPricingModel(CAPM)ChapterOutline10.1IndividualSecurities10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPortfolios10.4TheEfficientSetforTwoAssets10.5TheEfficientSetforManySecurities10.6Div
2、ersification:AnExample10.7RisklessBorrowingandLending10.8MarketEquilibrium10.9RelationshipbetweenRiskandExpectedReturn(CAPM)10.10SummaryandConclusions10.1IndividualSecuritiesThecharacteristicsofindividualsecuritiesthatareofinterestarethe:ExpectedReturnVarianceandStandardDeviationCovarianceand
3、Correlation10.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomyandtheonlyassetsareastockfundandabondfund.10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovaria
4、nce10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedreturnthanbondsandh
5、igherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.10.3TheReturnandRiskforPortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskforPortfoliosTherateofreturnontheportfolio
6、isaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskforPortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskforPortfoliosTheexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedre
7、turnsonthesecuritiesintheportfolio.10.3TheReturnandRiskforPortfoliosThevarianceoftherateofreturnonthetworiskyassetsportfolioiswhereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.10.3TheReturnandRiskforPortfoliosObservet