标题: FRM考试CAPM模型讨论 [打印本页]

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作者: bluejazzy    时间: 2012-6-7 11:17     标题: FRM考试CAPM模型讨论

在Schweser Study Notes for the FRM Exam,Book1,page47中间有这么一个结论：

for a well-diversified portfolio we can use the following approximation: 投资组合贝塔约等于组合标准差除以市场标准差



请问谁知道这个结论是怎么推导出来的，百思不得其解中。

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作者: RepoToronto    时间: 2012-6-7 11:17

Let me give a try....

1. Beta=r(p,m)*Sigma(P)/Sigma(M)

2. If portfolio P is well diversified, the correlation r(p,m) between portfolio P and the martket equals 1.

3. therefore, Beta(P)=1*Sigma(P)/Sigma(M)=Sigma(P)/Sigma(M)

Does it make sense?

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