资本资产定价模型与风险中性定价理论的比较

A Comparison between Capital Assets Pricing Model and Risk Neutral Pricing Theory

资本资产定价模型只考虑系统风险,并假定非系统风险可以通过多样化消除。资本资产定价模型是在真实世界中给风险资产定价。风险中性的世界是一个假想的世界,在风险中性世界中所有风险资产的预期收益率等于无风险收益率。资本资产定价模型可以用无套利方法得到。

Capital Assets Pricing Model （CAPM） only considers systematical risk and assumes that non - systematical risk can be eliminated by diversification. It prices risky assets in the real world. The world of risk neutral is an imaginary world in which the expected return rate of all risky assets equals to risk - free return rate. CAPM can be obtained by using non - arbitrage approaches.