New answers tagged beta
0
votes
Definitions of Beta
One thing to note is that the CAPM can be rewritten as
$$r_i=r_f(1-\beta_i)+\beta_i r_m$$
Thus, one can identify $\alpha_i$ with $(1-\beta_i)r_f$.
Then, we we have, for the CAPM,
$$\beta_i=\frac {r_i-...
0
votes
What is the relation between "Capital Market Line" and "Capital Asset Pricing Model (CAPM)"?
Is this right?
No. $\beta_{i,M} = \frac{\sigma_i \rho_{i,M}}{\sigma_M}$ (note the correlation $\rho_{i,M}$ that is missing from your formula.)
The first formula (CML) is only for portfolios on the ...
Top 50 recent answers are included
Related Tags
beta × 175capm × 60
regression × 19
portfolio-management × 12
equities × 11
returns × 11
correlation × 11
portfolio-optimization × 10
portfolio × 9
factor-models × 9
volatility × 8
finance × 8
modern-portfolio-theory × 8
time-series × 7
hedging × 7
covariance × 7
options × 6
programming × 6
risk × 6
asset-pricing × 6
fama-french × 6
implied-volatility × 5
index × 5
risk-management × 4
statistics × 4