August 2022
Intermediate to advanced
394 pages
12h 32m
Chinese
Content preview from 金融人工智能：用Python实现AI量化交易
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规范性金融理论
｜
67
3.4
资本资产定价模型
资本资产定价模型（
CAPM
）是金融学中被广泛记载和应用的模型之一，其核心是以线性
方式将一只股票的预期收益率与市场投资组合的预期收益率联系起来，市场投资组合通常
用标准普尔
500
等各类股票指数来近似
。这种模式可以追溯到
Sharpe
（
1964
）和
Lintner
（
1965
）的开创性工作。
Jones
（
2012
）的第
9
章将
CAPM
与
MVP
的关系描述如下：
资本市场理论是一个实证理论，因为它假设了投资者的行为方式，而不是投资者
应该如何的行为方式，就像现代投资组合理论（
MVP
）
的情况。将资本市场理论
视为投资组合理论的延伸是合理的，但重要的是要明白，
MVP
并不是建立在资
本市场理论的有效性或缺乏有效性之上的。
许多投资者感兴趣的特定均衡模型是资本资产定价模型，通常称为
CAPM
。它允
许我们评估单个证券的相关风险，以及评估风险与投资预期收益率之间的关系。
作为一种均衡模型，
CAPM
因其简单性和隐含性而具有吸引力。
3.4.1
假设和结论
假设上一节中的静态经济模式
({ , , }, )
N
P
Ω
= MF
有
N
个交易资产和所有的简化假设。
在
CAPM
模型中
，假设经济主体根据
MVP
进行投资，只关心风险资产一个时期内的风险
和收益统计值。
在
资本市场均衡
中，所有可用资产由所有经济主体所持有，所有市场都是出清的。由于经
济主体都假设使用
MVP
来
形成有效投资组合，因此这意味着所有经济主体必须持有相同
的有效投资组合（就其构成而言），因为每个经济主体的可交易资产集是相同的。换句话
说， ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.