Transcription of The Capital Asset Pricing Model (CAPM)
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The Capital Asset Pricing Model (CAPM)
Foundations of Finance: The Capital Asset Pricing Model (CAPM) Prof. Alex Shapiro1 Lecture Notes 9 The Capital Asset Pricing Model (CAPM)I. Readings and Suggested Practice ProblemsII. Introduction: from Assumptions to ImplicationsIII. The Market PortfolioIV. Assumptions Underlying the CAPMV. portfolio Choice in the CAPM WorldVI. The Risk-Return Tradeoff for Individual StocksVII. The CML and SMLVIII. Overpricing / Underpricing and the of CAPM in Corporate ReadingsBuzz Words: Equilibrium Process, Supply Equals Demand, MarketPrice of Risk, Cross-Section of Expected Returns,Risk Adjusted Expected Returns, Net Present Valueand Cost of Equity of Finance: The Capital Asset Pricing Model (CAPM) 2I. Readings and Suggested Practice ProblemsBKM, Chapter 9, Sections Problems, Chapter 9: 2, 4, 5, 13, 14, 15 Web: Visit , select a fund ( , Vanguard500 Index VFINX), click on Risk Measures, and in the ModernPortfolio Theory Statistics section, view the Introduction: from Assumptions to ImplicationsA.
Foundations of Finance: The Capital Asset Pricing Model (CAPM) 9 VI. The Risk-Return Tradeoff for Individual Stocks A. The CML specifies the expected return, ErC, for a given level of risk (σC) in our combined portfolios. All possible combined portfolios lie on the CML, and all are Mean-Variance efficient portfolios.
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