FRM一級風險管理基礎重點匯總-CAPM假設

風險管理基礎作為FRM一級考試中占比20%的部分，也是我們備考的重點，這一部分的特點就是多且雜，建議大家在理解的基礎上對定義進行記憶，可以結合一些重點例題，加深對知識點的理解。

正保會計網校的老師給大家總結好了FRM風險管理基礎的重要知識點和?？键c，還結合了精選例題做了細致的講解，想必一定能幫到你，一起來學習一下吧！

先來看看Alex老師的整體知識點介紹，更好理解呦！

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知識點：CAPM假設 

CAPM key assumptions are:

? Information is freely available.

? Frictionless markets.

? Fractional investments are possible.

? Perfect competition.

? Investors make their decisions solely based on expected returns and variances.

? Market participants can borrow and lend unlimited amounts at the risk-free rate.

? Homogenous expectations.

?？键c：

1. CPAM的假設概括起來就是“完美”二字：完美的市場，完美的投資者，完美的投資產品。

2. CAPM的假設中是沒有稅的，常見錯誤選項會說有固定稅率。

例題：

The capital asset pricing model (CAPM) is based on several limiting assumptions. Which of the following statements is correct regarding the CAPM? The CAPM:

A. Does not assume that the expected excess returns for the market are known.

B. Assumes that the market portfolio should be the one with the highest Sharpe ratio of all possible portfolios.

C. Does not assume that investors have access to the same information.

D. Assumes that investors’ expectations regarding risk and return are not identical but normally distributed.

【正確答案】B

【答案解析】

The CAPM assumes that the market portfolio should be the portfolio with the highest Sharpe ratio of all possible portfolios and should include all investable assets. It also assumes that the expected excess returns for the market are assumed to be known in that investors have access to the same information. As well, it assumes that returns are normally distributed and investors’ expectations for risk and return are identical.

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