omogeneous expectations.?“如果”:简化的理想世界;尽量使个人相同化Assumptions (cont’d)7- 8Copyright ? 2005 by Zengqf,Swun?关于“假设”之争?“那么均衡结果是”?1、!所有投资者将持有同一个风险资产组合----市场组合?All investors will hold the same portfolio for risky assets –market portfolio.7- 9Copyright ? 2005 by Zengqf,Swun?2、!市场组合包含市场中所有的证券,每种证券的投资比例等于其市值占比。Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value.“那么均衡结果是”Resulting Equilibrium Conditions7- 10Copyright ? 2005 by Zengqf,Swun?3、市场风险溢价取决于整个市场投资者的平均风险厌恶程度Risk premium on the the market depends on the average risk aversion of all market participants.?4、!!个别证券的风险溢价取决于该证券与市场的协方差(准确地说,贝塔系数)Risk premium on an individual security is a function of its covariance with the market.Resulting Equilibrium Conditions (cont’d)
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