Ch10The Capital Asset Pricing Model(澳大利亚新英格兰大学公司金融课件).ppt

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Ch10The Capital Asset Pricing Model(澳大利亚新英格兰大学公司金融课件).ppt

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Ch10The Capital Asset Pricing Model(澳大利亚新英格兰大学公司金融课件)

Lecture 10 The Capital Asset Pricing Model Fundamental or Theoretical Analysis Historical Data Based Approach Historical Data Based Approach (continued) Expected Return and Variance of Returns on Portfolios Expected Return and Variance of Returns on Portfolios (continued) Diversification Diversification (continued) Diversification (continued) Deriving an appropriate discount rate for risky cash flows The opportunity set for two assets The opportunity set for two assets (continued) Example Example (continued) The opportunity set and efficient set with many securities The efficient set with a riskless asset The efficient set with a riskless asset (continued) The efficient set with a riskless asset (continued) Example Example (continued) The CAPM equation The CAPM equation (continued) The CAPM equation (continued) The CAPM equation (continued) The CAPM equation (continued) The Security Market Line (SML) SML (continued) A Risk-Return Separation Theorem Problem 10.13 from the text (continued) Problem 10.39 from the text Problem 10.39 from the text (continued) An investment will be worth taking only if it is at least as desirable as what is already available in the financial markets. A new investment will be worthwhile if and only if it is outside (above) the efficient set (or the risk-return budget constraint). No matter where individual would choose to be on the efficient set, an investment can only make them better off if it is above the efficient set. If the two financial separation theorems did not hold, then the firms would need to know the inter-temporal and risk-return preferences of each owner to decide desirable investments. There are 3 securities in the market with the following payoffs: What are expected returns and standard deviations of the returns? Problem 10.13 from the text What are covariances and correlations between the returns? For j = A,B,C and k = A,B,C Problem 10.13 from the text (continued) What are expected returns and standard deviations of th