kawima 发表于 2011-6-22 18:48 
qinhan88 发表于 2011-6-22 18:12
一个是资本市场线CML，一个是证券市场线SML。资本市场线衡量的是投资组合（不是单一证券）的预期收益和风险的关系；而证券市场线衡量的是单一风险证券的预期收益和风险之间的关系。
4.2 The Security Market Line
In this subsection, we apply the CAPM to the pricing of securities. The security market line (SML) is a graphical representation of the capital asset pricing model with beta on the x-axis and expected return on the y-axis. Using the same concept as the capital market line, the SML intersects the y-axis at the risk-free rate of return, and the slope of this line is the market risk premium, Rm 􏰅 Rf. Recall that the capital allocation line (CAL) and the capital market line (CML) do not apply to all securities or assets but only to efficient portfolios. In contrast, the security market line applies to any security, efficient or not.
The difference occurs because the CAL and the CML use the total risk of the asset rather than its systematic risk. Because only systematic risk is priced and the CAL and the CML are based on total risk, the CAL and the CML can only be applied to those assets whose total risk is equal to systematic risk.
Total risk and systematic risk are equal only for efficient portfolios because those portfolios have no diversifiable risk remaining. We are able to relax the requirement of efficient portfolios for the SML because the CAPM, which forms the basis for the SML, prices a security based only on its systematic risk, not its total risk.
(Level I Volume 4 Corporate Finance and Portfolio Management , 6th Edition. Pearson Learning Solutions p. 418).
以上是CFA教材中对CML和SML的论述。
另外，CAPM是SML的基础，CAPM可以对单一风险资产进行定价，也可以对投资组合进行定价，如基金公司发行的基金份额。只要把CAPM模型中的贝塔替换成投资组合中各组成部分的贝塔的加权平均和即可。
另外，从衡量各类基金表现的比率中也可看出：
sharpe ratio & M-Squared 都以标准差作为参数，前者是相对指标，后者是绝对指标，衡量的都是总风险与收益的关系，基础是CML;
Treynor Ratios & Jesen's Alpha 都以贝塔作为参数，前者是相对指标，后者是绝对指标，衡量的都是系统风险与收益的关系，基础是SML;
注：个人理解，虽然CAPM在教材中（原著没看过）的论述是以衡量单一风险资产开始的，但这并不代表其只能对单一风险资产进行定价，如上所述，只要把单一模型中的贝塔换成投资组合各组成部分贝塔的加权平均和即可。
扫码加好友，拉您进群
全部版块
我的主页
收藏
