FRM考试CAPM模型讨论 following, 投资组合, 标准差, 模型

bluejazzy

在Schweser Study Notes for the FRM Exam,Book1,page47中间有这么一个结论：

for a well-diversified portfolio we can use the following approximation: 投资组合贝塔约等于组合标准差除以市场标准差



请问谁知道这个结论是怎么推导出来的，百思不得其解中。

RepoToronto

Let me give a try....

1. Beta=r(p,m)*Sigma(P)/Sigma(M)

2. If portfolio P is well diversified, the correlation r(p,m) between portfolio P and the martket equals 1.

3. therefore, Beta(P)=1*Sigma(P)/Sigma(M)=Sigma(P)/Sigma(M)

Does it make sense?