打中文打這麼久 本來還期待著有一些錢的 結果中文這麼不值錢嗎???
幹 國外的月亮比較圓 連字的都比較值錢嗎! 逼我打英文
The Market Portfolio
To apply the CAPM, we mustidentify the market potfolio. In this section we
examine how the market porfolio is contructed, common proxics that are used
to represent the market potfolio, and how we can estimate the mareket risk
premiuim.
Constructin the Market Portfolio
Because the market porfolio is the total supply of securities, the proportions
of each security risk must should correpond to the proportion of the total
market that each security represent.
Thus, the market portfolio contains more of the largest stocks and less of the
smallest stocks. Specifically, the investment in each security i is
proportional to its market capitaliztion, which is the total market value of
its out outstanding shares:
MV_i=(Numbers of the Shares of i Outstanding) X (Price of i per Share)
We then calculate the portfolio weights of each security as follow:
x_i=Market value of i / Total Market Value of All Securities in the portfolio
=MV_i / sigma_j{MV_j}
A portfolio like the market porfolio, in which each security is held in
proportion to its market potfolio is called value-weighted potfolio.
A value-weighted portfolio is also an equal ownership portfolio:
We hold the equal fraction of te total number of shares outstanding of each
security in the portfolio. This last observation implies that even when market
prices change, we do not need to trade unless the number of shares outstanding
of some security changes. Because very little trading is required to maitain
it, a value-weighted port foio is also a passive portfolio.
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