图 书 馆
第23讲-共同基金定理和协方差定价定理Lecture 23 - The Mutual Fund Theorem and Covariance Pricing Theorems |
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| 课程网址: | https://videolectures.net/yalemecon251f09_geanakoplos_lec23/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-03-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | This lecture continues the analysis of the Capital Asset Pricing Model, building up to two key results. One, the Mutual Fund Theorem proved by Tobin, describes the optimal portfolios for agents in the economy. It turns out that every investor should try to maximize the Sharpe ratio of his portfolio, and this is achieved by a combination of money in the bank and money invested in the "market" basket of all existing assets. The market basket can be thought of as one giant index fund or mutual fund. This theorem precisely defines optimal diversification. It led to the extraordinary growth of mutual funds like Vanguard. The second key result of CAPM is called the covariance pricing theorem because it shows that the price of an asset should be its discounted expected payoff less a multiple of its covariance with the market. The riskiness of an asset is therefore measured by its covariance with the market, rather than by its variance. We conclude with the shocking answer to a puzzle posed during the first class, about the relative valuations of a large industrial firm and a risky pharmaceutical start-up. |
| 关 键 词: | 共同基金定理; 协方差; 定价定理 |
| 课程来源: | 视频讲座网 |
| 数据采集: | 2023-11-17：liyq |
| 最后编审: | 2023-11-17：liyq |
| 阅读次数: | 23 |