風(fēng)險(xiǎn)資產(chǎn)的定價(jià)與證券組合管理的應(yīng)用證券投資學(xué)ONINVESTMENTS

第二十一講1資產(chǎn)組合管理理論的回顧證券經(jīng)濟(jì)學(xué)投資學(xué)馬柯威茨的思想評(píng)述2/美國(guó)市場(chǎng)的鏈接：34資本資產(chǎn)定價(jià)模型（CAPM）資本資產(chǎn)定價(jià)模型最早是由夏普（Sharpe）、林特（Lintner）和莫森（Mossin）根據(jù)馬科威茨(Markowitz）最有資產(chǎn)組合選擇的思想分別獨(dú)立的提出的，經(jīng)過(guò)幾十年的發(fā)展，已經(jīng)產(chǎn)生了多種多樣的資本資產(chǎn)定價(jià)模型，有些學(xué)者還創(chuàng)新出套利定價(jià)理論，從而形成了資本市場(chǎng)均衡理論體系。5傳統(tǒng)的CAPM假設(shè)包括以下幾點(diǎn)：1.所有資產(chǎn)都是可以在市場(chǎng)上買(mǎi)賣(mài)的，即這是一個(gè)高度市場(chǎng)化的經(jīng)濟(jì)。2.資本市場(chǎng)是完美無(wú)缺的，不存在摩擦。具體體現(xiàn)在：所有資產(chǎn)都是無(wú)限可分的，即資產(chǎn)的任何一部分都是可以單獨(dú)買(mǎi)賣(mài)的；所有投資者都是隨行逐市者，任何人的買(mǎi)賣(mài)行為都不能影響市場(chǎng)價(jià)格，即資產(chǎn)價(jià)格由市場(chǎng)決定；沒(méi)有交易成本和稅收，或者說(shuō)，這些問(wèn)題不影響投資決策；對(duì)借入和賣(mài)出數(shù)量沒(méi)有限制，也沒(méi)有保證金要求；所有投資者都可以無(wú)償獲取信息，并掌握同樣的信息。6傳統(tǒng)的CAPM假設(shè)包括以下幾點(diǎn)：3.存在無(wú)風(fēng)險(xiǎn)利率，所有投資者都可以按這一利率水平無(wú)限制的借貸。4.所有投資者都具有風(fēng)險(xiǎn)厭惡的特征，在一個(gè)時(shí)期內(nèi)追求效用最大化。5.所有投資者都具有相同的預(yù)期，具體而言，所有投資者的投資水平是相同的，他們對(duì)風(fēng)險(xiǎn)資產(chǎn)的預(yù)期收益、方差和協(xié)方差的估計(jì)是同一的；他們都依據(jù)Markowitz模型選擇資產(chǎn)組合，即投資者選擇資產(chǎn)和資產(chǎn)組合的決策過(guò)程是一樣的。7Mean-variancetheoryandtheCAPM:mainideasTakeonriskinproportiontotheriskpremiumandininverseproportionwithvarianceandriskaversion.Diversificationpays.Themarketrewardsyoufortakingashareofeconomy-widerisk.Themarketdoesnotrewardyoufortakingonsecurity-specific(idiosyncratic)risk.Allinvestorsholdamixtureoftwoportfolios,oneriskless(ifthereisarisklessasset),andthemarketportfolio.8ModernPortfolioTheorywasnotyetadolescentin1960whenWilliamF.Sharpe,a26-year-oldresearcherattheRANDCorporation,athinktankinLosAngeles,introducedhimselftoafelloweconomistnamedHarryMarkowitz..Neitherofthemknewitthen,butthatcasualknockonMarkowitz'sofficedoorwouldforeverchangehowinvestorsvaluedsecurities.9Sharpe,thenaPh.D.candidateattheUniversityofCalifornia,LosAngeles,neededadoctoraldissertationtopic.Hehadread"PortfolioSelection,"Markowitz'sseminalworkonriskandreturn—firstpublishedin1952andupdatedin1959—thatpresentedaso-calledefficientfrontierofoptimalinvestment.Whileadvocatingadiversifiedportfoliotoreducerisk,Markowitzstoppedshortofdevelopingapracticalmeanstoassesshowvariousholdingsoperatetogether,orcorrelate,thoughthequestionhadoccurredtohim.10SharpeacceptedMarkowitz'ssuggestionthatheinvestigatePortfolioTheoryasathesisproject.Byconnectingaportfoliotoasingleriskfactor,hegreatlysimplifiedMarkowitz'swork.Sharpehascommittedhimselfeversincetomakingfinancemoreaccessibletobothprofessionalsandindividuals.11Fromthisresearch,Sharpeindependentlydevelopedahereticalnotionofinvestmentriskandreward,asophisticatedreasoningthathasbecomeknownastheCapitalAssetPricingModel,ortheCAPM.TheCAPMrattledinvestmentprofessionalsinthe1960s,anditscommandingimportancestillreverberatestoday.In1990,Sharpe'sroleindevelopingtheCAPMwasrecognizedbytheNobelPrizecommittee.SharpesharedtheNobelMemorialPrizeinEconomicSciencesthatyearwithMarkowitzandMertonMiller,theUniversityofChicagoeconomist.12Everyinvestmentcarriestwodistinctrisks,theCAPMexplains.Oneistheriskofbeinginthemarket,whichSharpecalledsystematicrisk.Thisrisk,laterdubbed"beta,"cannotbediversifiedaway.Theother—unsystematicrisk—isspecifictoacompany'sfortunes.Sincethisuncertaintycanbemitigatedthroughappropriatediversification,Sharpefiguredthataportfolio'sexpectedreturnhingessolelyonitsbeta—itsrelationshiptotheoverallmarket.TheCAPMhelpsmeasureportfolioriskandthereturnaninvestorcanexpectfortakingthatrisk.13MorethanthreedecadeshavepassedsincetheCAPM'sintroduction,andSharpehasnotstoodstill.AprofessoroffinanceattheStanfordUniversityGraduateSchoolofBusinesssince1970,hehascraftedseveralfinancialtoolsthatportfoliomanagersandindividualsuseroutinelytobettercomprehendinvestmentrisk,includingreturns-basedstyleanalysis,whichassistsinvestorsindeterminingwhetheraportfoliomanagerisstickingtohisstatedinvestmentobjective.TheSharperatioevaluatesthelevelofriskafundacceptsvs.thereturnitdelivers.14Sharpe'slatestprojectischaracteristicallyambitious,combininghisdesiretoeducateamassaudienceaboutriskwithhislongtimeloveofcomputers.Technologyisdemocratizingfinance,andSharpeishelpingtopushthispowerfulrevolutionforward.ThroughFinancialEngines,SharpeandhispartnerswillbringprofessionalinvestmentadviceandanalysistoindividualsovertheInternet.

RevisitingtheCapitalAssetPricingModel15傳統(tǒng)CAPM的推導(dǎo)傳統(tǒng)CAPM是通過(guò)資本市場(chǎng)線（CML）,借助市場(chǎng)組合這一概念推導(dǎo)出來(lái)的。16（1）資本市場(chǎng)線。資本市場(chǎng)線是在以預(yù)期收益和標(biāo)準(zhǔn)差為坐標(biāo)軸的圖面上，表示風(fēng)險(xiǎn)資產(chǎn)的有效率組合與一種無(wú)風(fēng)險(xiǎn)資產(chǎn)再組合的有效率的組合線。1718oE(r)rf4321CMLP*MVP19（2）市場(chǎng)組合以M替換P*后，CML的公式就可表示為：20由CML和市場(chǎng)組合M推導(dǎo)出的傳統(tǒng)CAPMCAPM的傳統(tǒng)形式21注意：注意β系數(shù)與相關(guān)系數(shù)的區(qū)別？22傳統(tǒng)的CAPM表示——SMLSML充分體現(xiàn)了高風(fēng)險(xiǎn)高收益的原則iSMLOE(r)23應(yīng)注意區(qū)分SML和CML首先是二者的適用范圍不同，CML只適用于描述無(wú)風(fēng)險(xiǎn)資產(chǎn)與有效率風(fēng)險(xiǎn)資產(chǎn)再組合后的有效率風(fēng)險(xiǎn)資產(chǎn)組合的收益和風(fēng)險(xiǎn)關(guān)系。SML描述的是任何一種資產(chǎn)或資產(chǎn)組合的收益和風(fēng)險(xiǎn)之間的關(guān)系。其次是二者選擇的風(fēng)險(xiǎn)變量不同，CML以總風(fēng)險(xiǎn)為橫坐標(biāo)，SML以市場(chǎng)風(fēng)險(xiǎn)為橫坐標(biāo)24已知：股票與市場(chǎng)的相關(guān)系數(shù)