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8-1 8-2 8-3 8-4 8-5 8-6

????????. FIG 8-1FIG 8-2FIG 8-3FIG 8-4FIG 8-5FIG 8-6FIG 8-7FIG 8-8. ? ?. ? ?. . . . . ????1. ????????????????2. ???????????????3. ??????????4. ??????????5. ?????????????6. ??????????7. ????????????????????8. ???????????. 8-1 ?????. ???????????????,???????????0???,??????????????

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8-1 8-2 8-3 8-4 8-5 8-6

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    1. ???????? 8-1 ????? 8-2 ???????? 8-3 ??????? 8-4 ????????? 8-5 ?????????????? 8-6 ??????

    2. ???????? FIG 8-1 FIG 8-2 FIG 8-3 FIG 8-4 FIG 8-5 FIG 8-6 FIG 8-7 FIG 8-8

    3. ???? 1. ???????????????? 2. ??????????????? 3. ?????????? 4. ?????????? 5. ????????????? 6. ?????????? 7. ???????????????????? 8. ???????????

    4. 8-1 ????? ???????????????,???????????0???,???????????????????????? ???????????,??????????: 1.????????????????????????? 2.???????????? 3.????????

    5. ??????????????????????????????????????????????(si,Ri),?????????????(O,Rf),??????????????:

    7. ??????A?B?M?????????????????????,??RfM??????????????,M????????????????? ????????????????????????????,???????????????????????? ???????????????????????????????,????????(Capital Market Line),??CML?

    9. ?????(CML)????????????????????,????????(Rf),????????????????,???????(Risk Premium),?????M???,?????Rm-Rf,???????????? ,??CML??? ,?CML?????????i??,?????????:

    10. ??????????,????????????????????????????,??????????,?????????(Two Fund Theorem)?

    12. ????????,????(???????)?????(????????)??????,???????(Separation Theorem)?

    13. 8-2 ???????? ???????????????????????????????? ???????????????????????,??????????????????????????????????????? E(Ri)=Rf+[E(Rm)-Rf]i

    14. ?????????????????????(E(Rm)-Rf),????????(Market Risk Premium)? ?????????????????????????,???????1,???????????????????????;??????1,????????????????????????

    15. ??E(Rm)=l0%,Rf=5%,????????5%,?A???????????,A=0.5,???????(8-4)?,??A???????????: E(RA)=Rf+[E(Rm)-Rf]A =5%+(10%-5%)(0.5) =5%+2.5%=7.5%

    16. ?B????????A???,B=2,?B??????????: E(RB)=5%+(10%-5%)2 =5%+10%=15%

    17. ?C????????????1,???????????????????????,???10%? E(RC)=5%+(10%-5%)1 =10%

    18. ????????????????,???????????????

    20. 8-3 ??????? ???????????: E(Ri)=Rf+[E(Rm)-Rf]i ???????????,??????????? ????????????,???????????? ??(8-6)????????,???ai?bi?????: Ri,t=ai+bi(Rm,t)+ei,t (8-6)

    21. (8-6)???????(MarketModel)? ?????i?????????,?????(Characteristic Line)?

    25. 8-4 ????????? ??A?B???????????A?B,??????????????: RP=WARA+WBRB ????????????: RA=Rf+A(Rm-Rf) RB=Rf+B(Rm-Rf)

    26. RP=WA[Rf+A(Rm-Rf)]+WB[Rf+A(Rm-Rf)] =(WA+WB)Rf+(WAA+WBB)(Rm-Rf) WA+WB=1,????????: RP=Rf+(WAA+WBB)(Rm-Rf) ?????,??????????????????????????????

    28. P=(0.1)(0.8)+(0.2)(1.0)+(0.1)(1.2)+ (0.3)(1.4)+(0.3)(1.5)=1.27 ??????????????A??,??????????1.2?????,????????????1.27???1.31 i=(0.1)(1.2)+(0.2)(1.0)+(0.1)(1.2)+ (0.3)(1.4)+(0.3)(1.5)=1.31

    29. 8-5 ?????????????? 8-5-1 ??????? ???????????????: (1)???? (2)??????(Inflation Premium,???IP) ??????????????????????????????????????,??????????????????,????????????,????????????????

    32. 8-5-2 ??????????? ?????????????,?????????????????????????,??????(Rm-Rf)?????????,???????????????,????????????????????????? ????????,???????????,????????????,????????? ,????????????????????????,???????????

    35. 8-6 ?????? ???????????????????????:??????????,???????????????????????,??????????????????;?????????,???????????????????????,???????????

    36. E(Rj)=Rf+?1j1+?1j2++?kjk E(Rj):?j???????????? Rf:????? ?k:?k?????????????? jk:?j????????k?????????

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