悉尼代写作业:资本资产定价模型

Keywords:悉尼代写作业

Markowtiz(1952)为CAPM(资本资产定价模型)做了基础工作。从早期理论的研究来看，我们知道，潜在安全的风险是由其回报或回报的标准偏差来衡量的。因此，对于更大的风险，我们将会有更高的安全回报标准偏差。Markowtiz认为，如果两种证券组合在一起，那么安全回报的标准偏差就不是相加的，除非这两种证券的回报是完全正相关的。他还指出，投资组合的安全回报标准偏差小于构成投资组合的标准偏差之和。马科维茨开发了投资组合的有效边界，即投资者选择最适合他们的投资组合的有效组合。从技术上讲，投资者将持有一个平均方差有效的投资组合，该投资组合将以给定的差异水平回报给他们最高的回报。马科维茨降低风险的计算是非常严格和乏味的。Sharpe(1964)开发了单指标模型，计算效率高。他派生了一个公共索引，其中资产回报与公共索引相关。这个公共索引可以是任何影响资产回报的变量。我们可以将这个单一的指数模型应用于投资组合，因为投资组合的预期收益是投资组合的预期收益的加权平均值。
悉尼代写作业:资本资产定价模型
Markowtiz (1952) did the ground work for the CAPM (Capital Asset Pricing Model). From the study of the early theories we know that the risk of an underlying security is measured by the standard deviation of its pay off or return. Therefore, for a larger risk we will have higher standard deviation of the respective security return. Markowtiz argued that the standard deviations of security returns for any two securities are not additive if they are combined together unless the returns of those two assets are perfectly positively correlated. He also observed that the standard deviation of security return of a portfolio is less than the sum of the standard deviation of those assets constituted the portfolio. Markowitz developed the efficient frontier of portfolio, the efficient set from where the investors select the portfolio which is most suitable for them. Technically, an investor will hold a mean-variance efficient portfolio which will return the highest pay off to them with a given level of variance. Markowitz’s computation of risk reduction is very rigorous and tedious. Sharpe (1964) developed the single index model which is computationally efficient. He derived a common index where the asset return is related with the common index. This common index can be any variable which has influence on the asset return. We can apply this single index model to the portfolio as well since the expected return of a portfolio is the weighted average of the expected returns of the constituents of the portfolio.