FRM一級風(fēng)險管理基礎(chǔ)重點(diǎn)匯總-CAPM假設(shè)

風(fēng)險管理基礎(chǔ)作為FRM一級考試中占比20%的部分，也是我們備考的重點(diǎn)，這一部分的特點(diǎn)就是多且雜，建議大家在理解的基礎(chǔ)上對定義進(jìn)行記憶，可以結(jié)合一些重點(diǎn)例題，加深對知識點(diǎn)的理解。

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知識點(diǎn)：CAPM假設(shè) 

CAPM key assumptions are:

? Information is freely available.

? Frictionless markets.

? Fractional investments are possible.

? Perfect competition.

? Investors make their decisions solely based on expected returns and variances.

? Market participants can borrow and lend unlimited amounts at the risk-free rate.

? Homogenous expectations.

?？键c(diǎn)：

1. CPAM的假設(shè)概括起來就是“完美”二字：完美的市場，完美的投資者，完美的投資產(chǎn)品。

2. CAPM的假設(shè)中是沒有稅的，常見錯誤選項(xiàng)會說有固定稅率。

例題：

The capital asset pricing model (CAPM) is based on several limiting assumptions. Which of the following statements is correct regarding the CAPM? The CAPM:

A. Does not assume that the expected excess returns for the market are known.

B. Assumes that the market portfolio should be the one with the highest Sharpe ratio of all possible portfolios.

C. Does not assume that investors have access to the same information.

D. Assumes that investors’ expectations regarding risk and return are not identical but normally distributed.

【正確答案】B

【答案解析】

The CAPM assumes that the market portfolio should be the portfolio with the highest Sharpe ratio of all possible portfolios and should include all investable assets. It also assumes that the expected excess returns for the market are assumed to be known in that investors have access to the same information. As well, it assumes that returns are normally distributed and investors’ expectations for risk and return are identical.

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