MIP04a-BKM-chpt09-2008-TA

Report
MANAJEMEN INVESTASI
DAN PORTOFOLIO
Lecture 4a: CAPM
MIP/MB-IPB/08
1
Capital Asset Pricing Model (CAPM)
• It is the equilibrium model that underlies all modern
financial theory.
• Derived using principles of diversification with
simplified assumptions.
• Markowitz, Sharpe, Lintner and Mossin are
researchers credited with its development.
MIP/MB-IPB/08
2
Assumptions
•
•
•
•
Individual investors are price takers.
Single-period investment horizon.
Investments are limited to traded financial assets.
No taxes and transaction costs.
MIP/MB-IPB/08
3
Assumptions (cont’d)
• Information is costless and available to all investors.
• Investors are rational mean-variance optimizers.
• There are homogeneous expectations.
MIP/MB-IPB/08
4
Untuk melihat file lengkapnya
silahkan menghubungi kami di
www.mb.ipb.ac.id

similar documents