Page 31 - FINAL CFA SLIDES DECEMBER 2018 DAY 12
P. 31
Session Unit 12:
42. Portfolio Risk and Return: Part II
The assumptions of the CAPM are:
• All investors are risk averse.
• All investors are utility maximizing investors.
• Frictionless markets (no taxes, transaction costs, or other impediments to trading).
• Sam one-period horizon for all investors (all short-tern or all long-term).
• All investors have homogeneous expectations of risk, returns and correlations.
• All assets are infinitely divisible assets.
• ‘Perfectly’ Competitive markets.
tanties
What exactly is the difference?
CML for total risk, SML for systematic risk!
