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1、confirmingpagesPART2"""""CHAPTERRISK8PortfolioTheoryandtheCapitalAssetPricingModel!InChapter7webegantocometogripswiththestandarddeviationasthemarketindex.Asecuritywithproblemofmeasuringrisk.Hereisthestorysofar.abetaof.5hasbelow-averagemarketrisk—awell-Thestockmarketi
2、sriskybecausethereisaspreaddiversifiedportfolioofthesesecuritiestendstomoveofpossibleoutcomes.Theusualmeasureofthisspreadhalfasfarasthemarketmovesandhashalfthemarket’sisthestandarddeviationorvariance.Theriskofanystandarddeviation.stockcanbebrokendownintotwoparts.Ther
3、eisInthischapterwebuildonthisnewfoundknowledge.thespecificordiversifiableriskthatispeculiartothatWepresentleadingtheorieslinkingriskandreturninastock,andthereisthemarketriskthatisassociatedcompetitiveeconomy,andweshowhowthesetheorieswithmarketwidevariations.Investors
4、caneliminatecanbeusedtoestimatethereturnsrequiredbyinvestorsspecificriskbyholdingawell-diversifiedportfolio,butindifferentstock-marketinvestments.Westartwiththeycannoteliminatemarketrisk.Alltheriskofafullythemostwidelyusedtheory,thecapitalassetpricingdiversifiedportf
5、olioismarketrisk.model,whichbuildsdirectlyontheideasdevelopedinAstock’scontributiontotheriskofafullydiversifiedthelastchapter.Wewillalsolookatanotherclassofportfoliodependsonitssensitivitytomarketchanges.models,knownasarbitragepricingorfactormodels.Thissensitivityisg
6、enerallyknownasbeta.AsecurityTheninChapter9weshowhowtheseideascanhelpwithabetaof1.0hasaveragemarketrisk—awell-thefinancialmanagercopewithriskinpracticalcapitaldiversifiedportfolioofsuchsecuritieshasthesamebudgetingsituations."""""8-1HarryMarkowitzandtheBirthofPortfol
7、ioTheoryMostoftheideasinChapter7datebacktoanarticlewrittenin1952byHarryMarkowitz.1Markowitzdrewattentiontothecommonpracticeofportfoliodiversificationandshowedexactlyhowaninvestorcanreducethestandarddeviationofportfolioreturnsbychoos-ingstocksthatdonotmoveexactlytoget
8、her.ButMarkowitzdidnotstopthere;hewentontoworkoutthebasicprinciplesofportfolioconstruction.Theseprinciplesarethefoundationformuchof
