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- 2011-7-11
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CML: Slope is sp / sm
SML: Slope is p*sp/sm (beta)
where sp - s.d of portfolio
sm - s.d of market
p - correlation coeff of portfolio with market
Now as p < 1 .. SML will be below CML as they have the same intercept |
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发表于 2011-7-11 19:43
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