求助！CAPM模型！！！

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请问资本资产定价模型，证券市场线，资本市场线这三者到底是什么关系？！资本市场线是有资本资产定价模型得到的么？

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关键词：CAPM模型 CAPM APM cap 资本资产定价模型 证券市场 资本市场 模型

sigh 当年我也是不求甚解，所以不班门弄斧了，直接把'BEST ANSWER'搬给你，你就记着SML是用来看SINGLE ASSET,其上的资产TREYNOR RATIO 相同，都是相对于系统风险（BETA）来比的，就是下面的第一个公式，自己记忆里唯一用过的地方就是用来判断OVERVALUE, UNDERVALUE。 CML上都是MARKET PORTFOLIO 和 无风险资产的投资组合，其上的都是EFFIEICENT PTFL, SHARPE RATIO 相同







The capital market line (CML) is a line used in the capital asset pricing model to illustrate the rates of return for efficient portfolios depending on the risk-free rate of return and the level of risk (standard deviation) for a particular portfolio.

The CML is derived by drawing a tangent line from the intercept point on the efficient frontier to the point where the expected return equals the risk-free rate of return.

The CML is considered to be superior to the efficient frontier since it takes into [size=100%][size=100%]account the inclusion of a risk-free asset in the portfolio. The capital asset pricing model (CAPM) demonstrates that the market portfolio is essentially the efficient frontier. This is achieved visually through the security market line (SML).

The security market line is a line that graphs the systematic, or market, risk versus return of the whole market at a certain time and shows all risky marketable securities.

The SML essentially graphs the results from the capital asset pricing model (CAPM) formula. The x-axis represents the risk (beta), and the y-axis represents the expected return. The market risk premium is determined from the slope of the SML.

The security market line is a useful tool in determining whether an asset being considered for a portfolio offers a reasonable expected return for risk. Individual securities are plotted on the SML graph. If the security's risk versus expected return is plotted above the SML, it is undervalued because the investor can expect a greater return for the inherent risk. A security plotted below the SML is overvalued because the investor would be accepting less return for the amount of risk assumed.

creamqueen 发表于 2012-12-21 07:18
sigh 当年我也是不求甚解，所以不班门弄斧了，直接把'BEST ANSWER'搬给你，你就记着SML是用来看SINGLE ASSE ...

楼上解释的很好。 热心帮助网友。 佩服。

creamqueen 发表于 2012-12-21 07:18
sigh 当年我也是不求甚解，所以不班门弄斧了，直接把'BEST ANSWER'搬给你，你就记着SML是用来看SINGLE ASSE ...

谢谢！

mark