The capital-asset pricing model （CAPM） discovered by Sharp （1964）, Lintner （1965） and Mossin （1966） is a general equilibrium model. It not only allows improved understanding of market behavior, but also provid...The capital-asset pricing model （CAPM） discovered by Sharp （1964）, Lintner （1965） and Mossin （1966） is a general equilibrium model. It not only allows improved understanding of market behavior, but also provides practical benefits. At the same time, it also provides a practical mechanism for evaluating performance in a risk-adjusted mode. This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis. However, Richard Roll （1977） has directed some biting criticism at the tests in affirming the CAPM. This criticism is aimed at one of the critical notions-the identifying of the efficient market portfolio. This paper solves the highly difficult problem by a geometrical way. It first denotes the efficient frontier of Markowitz model with the weights vector of portfolio. Then, it denotes the capital market line （CML） with the weights vector too. By the definition of the CML, the efficient market portfolio thus can be identified.展开更多
文摘The capital-asset pricing model （CAPM） discovered by Sharp （1964）, Lintner （1965） and Mossin （1966） is a general equilibrium model. It not only allows improved understanding of market behavior, but also provides practical benefits. At the same time, it also provides a practical mechanism for evaluating performance in a risk-adjusted mode. This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis. However, Richard Roll （1977） has directed some biting criticism at the tests in affirming the CAPM. This criticism is aimed at one of the critical notions-the identifying of the efficient market portfolio. This paper solves the highly difficult problem by a geometrical way. It first denotes the efficient frontier of Markowitz model with the weights vector of portfolio. Then, it denotes the capital market line （CML） with the weights vector too. By the definition of the CML, the efficient market portfolio thus can be identified.
