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澳洲Assignment代寫:資本資產定價模型

2017-01-16 09:16

資本資產定價模型(CAPM)的核心思想可以概括為:在資本市場上的競爭均衡,非系統風險可以通過多樣化避免,預期收益是由不可分割的系統風險是影響(通過β系數來衡量),預期收益的β系數呈線性關系(阿爾伯克基,和王,2008)。CAPM理論解釋的結論:那些非系統風險因素影響的資產的差異,而不是方差的資產與市場相結合,對資產定價的影響。資產定價只能由股票的貝塔系數決定。由于其簡單性和可操作性的營地,它被廣泛應用于股票收益預測、投資風險分析等諸多問題(Cochrane,1991)。資本資產定價模型是建立在一系列假設,主要描述了股票市場的預期收益和風險之間的關系。用一個相對簡單的公式的收益和風險,資本資產定價模型計算風險補償與一些實際因素的簡化。雖然它簡單明了,易于理解和操作,并對投資的指導是非常大的,實證檢驗失敗由CAPM假設的局限性造成的。資本資產定價模型的實證檢驗主要是符合系數β是否能夠完全解釋資產回報的期望

澳洲Assignment代寫:資本資產定價模型

The core thought of Capital Asset Pricing Model(CAPM) can be introduced as follow: in a capital market which is competitive equilibrium, unsystematic risk can be avoided through diversification, the expected return is just Influenced by Inseparable system risk(measured by βcoefficient), The expected return is linearly related to the β coefficient (Albuquerque, and Wang, 2008). CAPM theoretically explains the conclusion: those unsystematic risk factors which influence the variances of the asset, but not the covariance of the combination of the asset and the market, have no influence on the asset pricing. The asset pricing can only be determined by the stock's beta coefficient. Because of the simplicity and operability of CAMP, it is widely applied in stock returns prediction, investment risk analysis and many other problems (Cochrane, 1991). CAPM is based on a series of assumptions, It mainly describes the relationship between the expected return and risk in stock market. To express the return and risk with a relatively simple formula, CAPM calculates risk compensation with some practical factors simplified. Although it is simple and clear, easy to understand and operate, and its guidance on investment is very big, the empirical test failure is caused by limitations of CAPM assumptions. The inspection of CAPM is mainly to conform whether the coefficient beta can completely explain the expectation of the asset return.

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