portfolio theory and the capital asset model pricing

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1、confirmingpagesPART2"""""CHAPTERRISK8PortfolioTheoryandtheCapitalAssetPricingModel!InChapter7webegantocometogripswiththestandarddeviationasthemarketindex.Asecuritywithproblemofmeasuringrisk.Hereisthestorysofar.abetaof.5hasbelow-averagemarketrisk—awell-Thestockmarketi

2、sriskybecausethereisaspreaddiversifiedportfolioofthesesecuritiestendstomoveofpossibleoutcomes.Theusualmeasureofthisspreadhalfasfarasthemarketmovesandhashalfthemarket’sisthestandarddeviationorvariance.Theriskofanystandarddeviation.stockcanbebrokendownintotwoparts.Ther

3、eisInthischapterwebuildonthisnewfoundknowledge.thespecificordiversifiableriskthatispeculiartothatWepresentleadingtheorieslinkingriskandreturninastock,andthereisthemarketriskthatisassociatedcompetitiveeconomy,andweshowhowthesetheorieswithmarketwidevariations.Investors

4、caneliminatecanbeusedtoestimatethereturnsrequiredbyinvestorsspecificriskbyholdingawell-diversifiedportfolio,butindifferentstock-marketinvestments.Westartwiththeycannoteliminatemarketrisk.Alltheriskofafullythemostwidelyusedtheory,thecapitalassetpricingdiversifiedportf

5、olioismarketrisk.model,whichbuildsdirectlyontheideasdevelopedinAstock’scontributiontotheriskofafullydiversifiedthelastchapter.Wewillalsolookatanotherclassofportfoliodependsonitssensitivitytomarketchanges.models,knownasarbitragepricingorfactormodels.Thissensitivityisg

6、enerallyknownasbeta.AsecurityTheninChapter9weshowhowtheseideascanhelpwithabetaof1.0hasaveragemarketrisk—awell-thefinancialmanagercopewithriskinpracticalcapitaldiversifiedportfolioofsuchsecuritieshasthesamebudgetingsituations."""""8-1HarryMarkowitzandtheBirthofPortfol

7、ioTheoryMostoftheideasinChapter7datebacktoanarticlewrittenin1952byHarryMarkowitz.1Markowitzdrewattentiontothecommonpracticeofportfoliodiversificationandshowedexactlyhowaninvestorcanreducethestandarddeviationofportfolioreturnsbychoos-ingstocksthatdonotmoveexactlytoget

8、her.ButMarkowitzdidnotstopthere;hewentontoworkoutthebasicprinciplesofportfolioconstruction.Theseprinciplesarethefoundationformuchof