, , CAPM .
, ; , . , , . 5.16 M - , i . CAPM: . (), (5.8),
. | (5.17) |
| (5.17) CML (capital market line), . 5.16. . , . CML : , , . , tg - . |
,
, |
- , j- .
CML , .
. | (5.18) |
(5.18) : j . j- , .
( 5.18) SML (security market line), . 5.17, . , . CML, , , SML , cov .
|
|
, , (5.18), j, : . SML :
. | (5.19) |
. 5.17, .
|
- ; zj - . |
(5.19) (5.20) ,
, | (5.21) |
.. , .