The Capital Asset Pricing Model

摘要

A fundamental question in finance is how the risk of an investment should affect its expected return. The Capital Asset Pricing Model (CAPM) provided the first coherent framework for answering this question. The CAPM was developed in the early 1960s by William Sharpe (1964), Jack Treynor (1962), John Lintner (1965a, b) and Jan Mossin (1966). The CAPM is based on the idea that not all risks should affect asset prices. In particular, a risk that can be diversified away when held along with other investments in a portfolio is, in a very real way, not a risk at all. The CAPM gives us insights about what kind of risk is related to return. This paper lays out the key ideas of the Capital Asset Pricing Model, places its development in a historical context, and discusses its applications and enduring importance to the field of finance.