Finance School of management Contribution of security i to the Market risk E(rM)=∑xME(r1) M ∑xM/oiM LE()-rfI E()=r+ M uesTc
11 Finance School of Management Contribution of Security i to the Market Risk = i M i M i E(r ) x E(r ) = i s M xiMs iM 2 i M M M f i f E r r E r r s s [ ( ) ] ( ) − = +
Finance School of management Security Market Line(SML iM iM/O M ∑xMBM=1=BMM E(=r+PiMLEUM-rfl uesTc 12
12 Finance School of Management Security Market Line (SML) MM i xi M i M = 1 = 2 iM =s iM s M ( ) [ ( ) ] i f i M M f E r = r + E r −r