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7/25/2019 Tema8.CAPM
1/15
8. CA.
8.1. .
E
AA. E
:
=
D , , AD
1
0 .
,
:
( ) = 1D .. ( ) FD
( AD
, ,
) (1 + ) .
C:
, = ()( )
= () +, = 1, = , 1 + = (, 1)
+, = ,
= () +, = 1
7/25/2019 Tema8.CAPM
2/15
:
= 1()
, ()
D FD, :
() = 1(1+)
:
= (1 + ) , ()
A, , (
F) , :
(1 + ) = 1
(),
1 + (1 + ) = 1() ,
1 + 1 = 1() ,
= () ,
C,
(
).
, ( > 0), , < 0. ,
AA,
( ) .
7/25/2019 Tema8.CAPM
3/15
:
, , .. ():
.
(
):
= [() ]. :
= [() ]
. :
= . E AA:
= 1() ,
.
:
= = 1() ,
. E :
= ,
. :
= , = 1
() ,
.
E ():
() = 1
(1+)
7/25/2019 Tema8.CAPM
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. :
=, = (1+),
, = , 1(1+)
. D :
= 1
(1+)
.
:
, = , . E :
= + .
, E(M):
()= 1(1+)= (+ )
= 1(1+) + ()
.. , FD , ,
:
= +
= [() ](1+) + 1(1+) + [() ](1+) ()
.
(
) : (), , ,.
FD, : (), ..
7/25/2019 Tema8.CAPM
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E , (
) AA. :
( ) = 1
( ) ( 1+ )= 1
D F :
=
= = 0
:
() = 1() = 1
() ( ) = 1 1( ) ( 1+ ) ( ) ( 1+ )= 0
( ) ( 1+ ) ( )= 0( )= 0
=
E ,
.
7/25/2019 Tema8.CAPM
6/15
8.2. .
,
. ,
.
,
( ).
G:
.
.
. () ( ).
. (
) (1 ) .
.
,
=0 .
. , ,
( ).
.
C ,
( ).
7/25/2019 Tema8.CAPM
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A:
.
(
) :
()= + ( ) ()= + ( )+ ( )
. :
() = ()
= 2 2(1 )+ (2 4)
= 2
= 0= 2 = 0=
2 22 =
.
= 0:() = 0=
()( )/
.
E = 0, = ()
= 0= ()
(
)/
. :
() () 0
. C ( = 0): ()( )/ =
() ()
7/25/2019 Tema8.CAPM
8/15
. :
()=[() ()]( )
()=[() ()]( 1)
.
D :
= () + [() ()]
E ()
. D ,
.
,
().E
= ()
= (
, = ).
, (
, ) 0
() .
0 .
,
.
= () + [() ()]
= () + ( 1 )()
= () + ( 1 )()
7/25/2019 Tema8.CAPM
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8.3. E .
H
. E
, .
C ,
. E ,
.
C ,
, .
,
.
=
D
.
,
= ,
A
, :
7/25/2019 Tema8.CAPM
10/15
.
E
. B :
H . () .
E ,
F.
( ).
( ,
).
( ).
, .
AA.
.
,
, .
, . D
,
. C
, (=)
(
AA).
E
= + [() ]
D:
= ,
()=
()
=
7/25/2019 Tema8.CAPM
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( )
, ,
(
).
.
E CA (
)
. E ,
.E
. A F
. E
( ).E CA
.
A,
(
):
= + [() ]
,
D:
= + [() ]
=,
, = ,
,
,
:
(
)= +
()
7/25/2019 Tema8.CAPM
12/15
F
:
() =
D:
= +
= 1(1+) + ()
= 1
(1+)
= [() ]
E 8.1. 5%,
35 12.5% .
1.7 ,
?
= + [() ]()= 5% + 1.7[12.5% 5%]
()= 17.75%
7/25/2019 Tema8.CAPM
13/15
.
,
,
, :
= () + [() ()]
H () .
E
.
> 0 . :
=
( = ),
, ( ):
=
D ,
, :
=
. C ,
7/25/2019 Tema8.CAPM
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()
( ).
, , , ()
.
0 ( 1 ) , :
= + (1 )
, 0
. C:
( , )= [(())+(1)(())][()]=
= [()][()] + (1 )[()][()]=
(, )= [, ] + ( )
E , :
(, )= [ , ] + (1 ) = 0
=
[, ]
0
, :
= () + [() ()]
7/25/2019 Tema8.CAPM
15/15
E
.
E :
= () + ( 1 )()= () + ( 1 )()
D
( 1 ) 0 C .
E 8.2.
5% 35. A
35 12.5% .
1.7 ,
?
= () + [() ()]
()= 5% + 1.7[12.5% 5%]()= 17.75%