股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES 46 Supply=5 million sha res Sigma demand I Equilibrium price $40.85 40 Index fund demand Aggregate (total) demand 3 5 7 9 11 Number of shares(millions) 9-11
9-11 股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES The demand curve for bu shares assumes that the price and therefore expected return of TD remain constant. a similar demand curve can be constructed for Td shares given a price for BU shares. As before, we would generate the demand for td shares by revising Table 9.2 for various current prices of TD, leaving the price of BU unchanged. We use the revised expected returns to calculate the optimal portfolio for each possible price of TD, ultimately obtaining the demand curve shown in Figure 9.3 9-12
9-12 股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES The demand curve for BU shares assumes that the price and therefore expected return of TD remain constant. A similar demand curve can be constructed for TD shares given a price for BU shares. As before, we would generate the demand for TD shares by revising Table 9.2 for various current prices of TD, leaving the price of BU unchanged. We use the revised expected returns to calculate the optimal portfolio for each possible price of TD, ultimately obtaining the demand curve shown in Figure 9.3
资本资产定价模型 Capital Asset Pricing Model(CAPM) ■资本资产定价模型是现代金融学的奠基石(风险与期望 收益均衡模型 It is the equilibrium model that underlies all modern financial theory 由诸多简单假定原理来建立 Derived using principles of diversification with simplified assumptions ■马克维茨,威廉·夏普,林特纳和简·莫辛研究和发展了资 本资产定价模型 Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development 9-13
9-13 资本资产定价模型是现代金融学的奠基石(风险与期望 收益均衡模型) It is the equilibrium model that underlies all modern financial theory. 由诸多简单假定原理来建立 Derived using principles of diversification with simplified assumptions. 马克维茨, 威廉·夏普,林特纳和简·莫辛研究和发展了资 本资产定价模型。 Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development. 资本资产定价模型 Capital Asset Pricing Model (CAPM)
假设 Assumptions 1个体投资者是价格的接受者 Individual investors are price takers 2单周期投资期限 Single-period investment horizon 3投资限制在金融资产的交易 Investments are limited to traded financial assets 4无税负和交易成本 No taxes, and transaction costs 9-14
9-14 １个体投资者是价格的接受者 Individual investors are price takers ２单周期投资期限 Single-period investment horizon ３投资限制在金融资产的交易 Investments are limited to traded financial assets ４无税负和交易成本 No taxes, and transaction costs 假设 Assumptions
假设 Assumptions( cont'd 5投资者是理性的均值一方差完善者 Investors are rational mean-variance optimizers 6同质期望 Homogeneous expectations 给定一系列证券的价格和无风险利率,所有投资者的证券收益 期望收益牽势方羨矩阵相箦,从而产 有效率边界和 个独一无二的最优风险资产组合。这一假定也被称为同质期 望 Given a set of security prices and the risk-free interest rate, all investors use the same expected returns and covariance matrix of security returns to generate the efficient frontier and the unique optimal risky portfolio. This assumption is often referred to as homogeneous expectations 对投资者来说信息是无成本的和有效的 Information is costless and available to all investors 9-15
9-15 ５投资者是理性的均值-方差完善者 Investors are rational mean-variance optimizers ６同质期望 Homogeneous expectations 给定一系列证券的价格和无风险利率，所有投资者的证券收益 的期望收益率与协方差矩阵相等，从而产生了有效率边界和一 个独一无二的最优风险资产组合。这一假定也被称为 同质期 望。 Given a set of security prices and the risk-free interest rate, all investors use the same expected returns and covariance matrix of security returns to generate the efficient frontier and the unique optimal risky portfolio. This assumption is often referred to as homogeneous expectations. 对投资者来说信息是无成本的和有效的 Information is costless and available to all investors 假设 Assumptions (cont’d)