金融学教学bodie2echapter13.pptx

文档分享1Chapter13: CapitalMarket ,byusingNPV-rule,butwedidn’-variancemethod,inwhichriskshouldgetitsreward,,:&’sbySharp,andindependentlybyLintner,andMossinItanswersthequestionWhatwouldequilibriumriskpremiumsbeifpeoplehadthesamesetofforecastsofexpectedreturns,risk,ordingtheprinciplesofefficientdiversification文档分享6Sowhat’swrongwithms-eptableInfactitmayappeartobepedantictomentionthematallWhydevelopanewmodelforrisk-returnifthepresentmodelain’tbroke?文档分享7ms-analysis:EstimationWedidnotspellitout,butifyourecallthemnemonicforobtainingtheportfoliovolatilityinthems-model,(givenn-sharesintheportfolio,)weneededn-means(noproblem)n-standarddeviations(noproblem)n*(n-1)/2correlations(bigproblem)文档分享8ms-analysis:EstimationAllparametersneedestimation,andtherearen*(n+1)/2+nparametersAssumeaportfolioof,say,2,000sharesrepresentthemarket,thenweneedtoestimatemorethan2,000,000parameters,mostofwhicharecorrelations文档分享9ms-analysis:EstimationRecallthatwhenyouestimateparameters,itisdonewithonlyagivenlevelofconfidence(confidential