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1、McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.CHAPTER10The Capital Asset Pricing Model (CAPM)1McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Chapter Outline10.1 Individual Securities 10.2 Expected
2、Return, Variance, and Covariance 10.3 The Return and Risk for Portfolios 10.4 The Efficient Set for Two Assets 10.5 The Efficient Set for Many Securities 10.6 Diversification: An Example 10.7 Riskless Borrowing and Lending 10.8 Market Equilibrium 10.9 Relationship between Risk and Expected Return (C
3、APM) 10.10 Summary and Conclusions2McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.1 Individual SecuritiesThe characteristics of individual securities that are of interest are the:Expected ReturnVariance and Standard DeviationCovariance and Correl
4、ation3McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and CovarianceConsider the following two risky asset world. There is a 1/3 chance of each state of the economy and the only assets are a stock fund and a bond fund.
5、4McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance5McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance%11)(%)28(
6、31%)12(31%)7(31)(=+-=SSrErE6McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance%7)(%)3(31%)7(31%)17(31)(=-+=BBrErE7McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Res
7、erved.10.2 Expected Return, Variance, and Covariance%24. 3%)7%11(2=-8McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance%01.%)12%11(2=-9McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies
8、, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance%89. 2%)28%11(2=-10McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance%)89. 2%01. 0%24. 3(31%05. 2+=11McGraw-Hill/Irwin Corporate Fina
9、nce, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.2 Expected Return, Variance, and Covariance0205. 0%3 .14=12McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosNote that stocks have a higher expe
10、cted return than bonds and higher risk. Let us turn now to the risk-return tradeoff of a portfolio that is 50% invested in bonds and 50% invested in stocks.13McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosThe r
11、ate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio: SSBBPrwrwr+=14McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosThe rate of return on the portfolio is
12、a weighted average of the returns on the stocks and bonds in the portfolio: %)7(%50%)12(%50%5 . 9+=SSBBPrwrwr+=15McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosThe rate of return on the portfolio is a weighted
13、average of the returns on the stocks and bonds in the portfolio: %)3(%50%)28(%50%5 .12-+=SSBBPrwrwr+=16McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosThe expected rate of return on the portfolio is a weighted a
14、verage of the expected returns on the securities in the portfolio. %)7(%50%)11(%50%9+=)()()(SSBBPrEwrEwrE+=17McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosThe variance of the rate of return on the two risky as
15、sets portfolio is BSSSBB2 SS2 BB2 P)(w2(w)(w)(w+=where BS is the correlation coefficient between the returns on the stock and bond funds.18McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.3 The Return and Risk for PortfoliosObserve the decrease in
16、risk that diversification offers.An equally weighted portfolio (50% in stocks and 50% in bonds) has less risk than stocks or bonds held in isolation.19McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.10.4 The Efficient Set for Two AssetsWe can consider other portfolio weights besides 50% in stocks and 50% in bonds 100% bonds100% stocks20Mc