威廉夏普 投资学课后习题答案解析第九章

1. There are ten key assumptions underlying the CAPM:

1. Investors evaluate portfolios by analyzing expected returns and standard

deviations over a one-period time horizon.

2. Everything else equal, investors prefer portfolios with greater expected

returns.

3. Everything else equal, investors prefer portfolios with lower standard

deviations.

4. Assets are infinitely divisible.

5. Investors may borrow or lend at a single riskfree interest rate.

6. Taxes and transaction costs are immaterial.

7. All investors have the same one-period time horizon.

8. All investors borrow and lend at the same riskfree rate.

9. All investors have immediate and costless access to all relevant information.

10. Investors possess homogeneous expectations regarding the expected returns

and risks of securities.

3. The separation theorem states that an investor's optimal risky portfolio can be

determined without reference to the investor's risk-return preferences.

Assuming that every investor has the same expectations regarding expected returns and risks for available securities, and assuming that everyone faces the same riskfree rate, then the efficient set must be the same for all investors. This implies that every investor will hold the same risky portfolio. (That risky portfolio is represented by the point of tangency between a ray emanating from the riskfree asset and extending into risk-return space and tangent to the curved Markowitz efficient set.) The only difference in portfolios held by investors will be with respect to the amount of riskfree lending or borrowing undertaken, which will depend on the investors' individual risk-return preferences.

6. If investors wish to hold more units of a security than are available, then they will

bid up the price of the security, thereby reducing its expected return. The lower expected return will cause investors to reduce their desired holdings of the security.

Conversely, if investors wish to hold fewer units of a security than are available, then they will bid down the security's price, thereby increasing its expected return.

The higher expected return will cause investors to wish to hold more units of the security.

This process will drive the price of the security toward its equilibrium value at which point the number of units investors wish to hold will equal the number of units outstanding. This equilibrating process will produce market clearing prices for all securities. Further, the riskfree rate will move to a level where the total amount of money borrowed will equal the supply of money available for lending.

7. Investor does not require any adjustments by an investor in the market portfolio.

Every security in the market portfolio is represented in proportion to its market