2
Market portfolio
x1M
M
x2
M :
:
x n
M
where
Vi
x iM n
V
i 1
i ,
4
Risk free asset
5
Combination of the market portfolio and risk
free asset
E( R ) ar f (1 a) E( RM ) ,
a 2 rf2 (1 a) 2 M
2
2a(1 a)Cov(r f , M ) (1 a) M .
6
Capital Market Line - CML
7
Capital Market Line - CML
E R CML
M
rf trini portfelj
8
Security Market Line - SML and Beta
E ( Ri ) rf i E ( RM ) rf ,
Cov( Ri , RM )
i
M2 .
9
SML Security Market Line
E R SML
M
E RM
rf
10
Beta
11
Beta
12
Portfolios Beta
n
i 1
i i
.
13