Transcription of The Capital Asset Pricing Model (CAPM) - New York University
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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.
budgeting, valuation, and regulation. Risk premium on an individual security is a function of its ... how much an asset’s return is driven by the market return.] So now consider the following “marginal” portfolio formation scenario: An investor holds the market portfolio.
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