Teori Portofolio dan Dana Investasi

Diskusi.6 Dalam asset pricing, dikenal model CAPM. CAPM diyakini sebagai model asset pricing yang mudah digunakan. Namun, menurut Anda, apakah CAPM memiliki kekurangan? Jelaskan apa kekurangan CAPM! Jawab; The CAPM builds on Harry Markowitz’ (1952, 1959) mean-variance portfolio model. In Markowitz’ model, an investor selects a portfolio at time t-1 that produces a random return Rpt at t. The model assumes that investors are risk averse and, when choosing among portfolios, they care only about the mean and variance of their one-period investment return. The model’s main result follows from these assumptions. Specifically, the portfolios relevant for choice by investors are mean-variance efficient, which means (i) they minimize portfolio return variance, s 2(Rpt), given expected return, E(Rpt), and (ii) they maximize expected return given variance. The attraction of the CAPM is its powerfully simple logic and intuitively pleasing predictions about how to measure risk and about the relation between expected return and risk. Unfortunately, perhaps because of its simplicity, the empirical record of the model is poor – poor enough to invalidate the way it is used in applications. The model’s empirical problems may reflect true failings. (It is, after all, just a model.) But they may also be due to shortcomings of the empirical tests, most notably, poor proxies for the market portfolio of invested wealth, which plays a central role in the model’s predictions. We argue, however, that if the market proxy problem invalidates tests of the model, it also invalidates most applications, which typically borrow the market proxies used in empirical tests. http://www.econ.sdu.edu.cn/__local/A/C4/4F/D2C724E14C2CBBA9F97F61C428C_DF996612_28501.pdf