Derivation of the Capm

May 5th, 2015
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We know from Markowtiz’ framework concerning two-fund separation that each investor will have a utility-maximizing portfolio that is a combination of the risk free asset and the tangency portfolio. If all investors see the same capital allocation line, they will all have the same linear efficient set called the Capital Market Line (CML).

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Derivation of the CapmDerivation of the CAPMWe know from Markowtiz framework concerning two-fund separation that each investor will have a utility-maximizing portfolio that is a combination of the risk free asset and the tangency portfolio. If all investors see the same capital allocation l

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