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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4a: CAPM

MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4a: CAPM. Capital Asset Pricing Model (CAPM). It is the equilibrium model that underlies all modern financial theory. Derived using principles of diversification with simplified assumptions.

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MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4a: CAPM

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  1. MANAJEMEN INVESTASI DAN PORTOFOLIOLecture 4a: CAPM MIP/MB-IPB/08

  2. Capital Asset Pricing Model (CAPM) • It is the equilibrium model that underlies all modern financial theory. • Derived using principles of diversification with simplified assumptions. • Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development. MIP/MB-IPB/08

  3. Assumptions • Individual investors are price takers. • Single-period investment horizon. • Investments are limited to traded financial assets. • No taxes and transaction costs. MIP/MB-IPB/08

  4. Assumptions (cont’d) • Information is costless and available to all investors. • Investors are rational mean-variance optimizers. • There are homogeneous expectations. MIP/MB-IPB/08

  5. Untukmelihat file lengkapnyasilahkanmenghubungikamidiwww.mb.ipb.ac.id

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