均衡条件 Resulting equilibrium Conditions ■全部投资者将持有相同的风险资产-市场组合 All investors will hold the same portfolio for risky assets-market portfolio 市场组合含有全部股票和每只股票在市场资产组 合所占的比例等于它的市值占所有股票的市值 Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value 9-16
9-16 全部投资者将持有相同的风险资产-市场组合 All investors will hold the same portfolio for risky assets – market portfolio. 市场组合含有全部股票和每只股票在市场资产组 合所占的比例等于它的市值占所有股票的市值 Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value. 均衡条件 Resulting Equilibrium Conditions
均衡条件 Resulting Equilibrium Conditions(cont 市场的风险溢价取决于全部市场参与者的平均风 险厌恶 Risk premium on the market depends on the average risk aversion of all market participants E(TM)-r=JMn×0.01 式中a2M为市场资产组合的方差;A为投资者风险厌恶的平均水平。请注 意由于市场资产组合是最优资产组合,即风险有效地分散于资产组合中的 所有股票,σ2M也就是这个市场的系统风险。 9-17
9-17 市场的风险溢价取决于全部市场参与者的平均风 险厌恶 Risk premium on the market depends on the average risk aversion of all market participants 均衡条件 Resulting Equilibrium Conditions (cont.) 式中σ2 M为市场资产组合的方差； A 为投资者风险厌恶的平均水平。请注 意由于市场资产组合是最优资产组合，即风险有效地分散于资产组合中的 所有股票， σ2 M也就是这个市场的系统风险
均衡条件 Resulting Equilibrium Conditions(cont ■个体证券的风险溢价是市场协方差的函数Rsk premium on an individual security is a function of its covariance with the market 贝塔是用来测度股票与一起变动情况下证券收益的 变动程度的。贝塔的正式定义如下: Beta measures the extent to which returns on the stock and the market move together. Formally beta is defined as Cov(r, r) 2 9-18
9-18 个体证券的风险溢价是市场协方差的函数Risk premium on an individual security is a function of its covariance with the market 贝塔是用来测度股票与一起变动情况下证券收益的 变动程度的。贝塔的正式定义如下： Beta measures the extent to which returns on the stock and the market move together. Formally, beta is defined as 均衡条件 Resulting Equilibrium Conditions (cont.)
均衡条件 Resulting Equilibrium Conditions(cont ■个体证券的风险溢价是市场协方差的函数 Risk premium on an individual security is a function of its covariance with the market 单个证券的风险溢价等于: The risk premium on individual securities is Cov(ri, rm) E(r1) TE(rM-rtl M =β,[E(n) 9-19
9-19 个体证券的风险溢价是市场协方差的函数 Risk premium on an individual security is a function of its covariance with the market 单个证券的风险溢价等于： The risk premium on individual securities is 均衡条件 Resulting Equilibrium Conditions (cont.)
市场资产组合 The market portfolio 当我们把所有个人投资者的资产组合加总起来时,借与贷将互相抵消(这 是因为每个借入者都有一个相应的贷出者与之对应),加总的风险资产组 价值等于整个经济中全部财富的价值,这就是市场资产组合。每只股票 在这个资产组合中的比例等于股票的市值占所有股票市场价值的比例 资本资产定价模型认为每个投资者均有优化其资产组合的倾向,最终所有 个人的资产组合会趋于一致,每种资产的权重等于它们在市场资产组合中 所占的比例。 The portfolios of all individual investors, lending and borrowing will cancel out (since each lender has a corresponding borrower), and the value of the aggregate risky portfolio will equal the entire wealth of the economy. This is the market portfolio, M. The proportion of each stock in this portfolio equals the market value of the stock (price per share times number of shares out-standing) divided by the sum of the market values of all stocks. 5 The CAPM implies that as individuals attempt to optimize their personal portfolios, they each arrive at the same port-folio, with weights on each asset equal to those of the market portfolio
9-20 当我们把所有个人投资者的资产组合加总起来时，借与贷将互相抵消（这 是因为每个借入者都有一个相应的贷出者与之对应），加总的风险资产组 合价值等于整个经济中全部财富的价值，这就是市场资产组合。每只股票 在这个资产组合中的比例等于股票的市值占所有股票市场价值的比例。 资本资产定价模型认为每个投资者均有优化其资产组合的倾向，最终所有 个人的资产组合会趋于一致，每种资产的权重等于它们在市场资产组合中 所占的比例。 The portfolios of all individual investors, lending and borrowing will cancel out (since each lender has a corresponding borrower), and the value of the aggregate risky portfolio will equal the entire wealth of the economy. This is the market portfolio, M. The proportion of each stock in this portfolio equals the market value of the stock (price per share times number of shares out- standing) divided by the sum of the market values of all stocks.5 The CAPM implies that as individuals attempt to optimize their personal portfolios, they each arrive at the same port- folio, with weights on each asset equal to those of the market portfolio. 市场资产组合 The Market Portfolio