Review:CAPM A measure of an asset's systematic risk is its beta: Cov(mcon-pw var(tm） ▣Core result of CAPM: 万=r5+B,m-r) ▣Note: Market portfolio:Bnm=1→万n=ry+(m-r） Risk-free portfolio:B=0=+0.") 2010/Yichuan Liu   Review: CAPM  A measure measure of an asset’s systematic systematic risk is its beta: ~ cov~ ri , rm  im i m  i i   2  im var~ rm   m  m  Core result of CAPM: ri  rf  irm  rf   Note: Market portfolio:  1  r  r  r  rf  m m f m Risk‐free portfolio:  f  0  rf  rf  0 rm  rf  f 2010 / Yichuan Liu 5