WILLIAMF.SHARPEt1.INTRODUCTIONONEOF

WILLIAMF.SHARPEt
1.INTRODUCTION
ONEOFTHEPROBLEMSwhichhasplaguedthoseattemptingtopredictthe
behaviorofcapitalmarketsistheabsenceofabodyofpositivemicro-
economictheorydealingwithconditionsofrisk.Althoughmanyuseful
insightscanbeobtainedfromthetraditionalmodelsofinvestmentunder
conditionsofcertainty,thepervasiveinfluenceofriskinfinancialtrans-
actionshasforcedthoseworkinginthisareatoadoptmodelsofprice
behaviorwhicharelittlemorethanassertions.Atypicalclassroomex-
planationofthedeterminationofcapitalassetprices,forexample,
usuallybeginswithacarefulandrelativelyrigorousdescriptionofthe
processthroughwhichindividualpreferencesandphysicalrelationships
interacttodetermineanequilibriumpureinterestrate.Thisisgenerally
followedbytheassertionthatsomehowamarketrisk-premiumisalso
determined,withthepricesofassetsadjustingaccordinglytoaccountfor
differencesintheirrisk.
Ausefulrepresentationoftheviewofthecapitalmarketimpliedin
suchdiscussionsisillustratedinFigure1.Inequilibrium,capitalasset
priceshaveadjustedsothattheinvestor,ifhefollowsrationalprocedures
(primarilydiversification),isabletoattainanydesiredpointalonga
capitalmarketline?Hemayobtainahigherexpectedrateofreturnon
hisholdingsonlybyincurringadditionalrisk.Ineffect,themarket
presentshimwithtwoprices:thepriceoftime,orthepureinterestrate
(shownbytheintersectionofthelinewiththehorizontalaxis)andthe
priceofrisk,theadditionalexpectedreturnperunitofriskborne(the
reciprocaloftheslopeoftheline).
*Agreatmanypeopleprovidedcommentsonearlyversionsofthispaperwhichled
tomajorimprovementsintheexposition.Inadditiontothereferees,whoweremost
helpful,theauthorwishestoexpresshisappreciationtoDr.HarryMarkowitzofthe
RANDCorporation,ProfessorJackHirshleiferoftheUniversityofCaliforniaatLos
Angeles,andtoProfessorsYoramBarzel,GeorgeBrabb,BruceJohnson,WalterOiand
R.HaneyScottoftheUniversityofWashington.
tAssociateProfessorofOperationsResearch,UniversityofWashington.
1.Althoughsomediscussionsarealsoconsistentwithanon-linear(butmonotonic)curve.
425

結果 (中文) 1:

WILLIAMF。SHARPEt1.介绍ONEOFTHEPROBLEMSwhichhasplaguedthoseattemptingtopredictthebehaviorofcapitalmarketsistheabsenceofabodyofpositivemicro-economictheorydealingwithconditionsofrisk。Althoughmanyusefulinsightscanbeobtainedfromthetraditionalmodelsofinvestmentunderconditionsofcertainty，thepervasiveinfluenceofriskinfinancialtrans-actionshasforcedthoseworkinginthisareatoadoptmodelsofpricebehaviorwhicharelittlemorethanassertions。Atypicalclassroomex-planationofthedeterminationofcapitalassetprices，例如，usuallybeginswithacarefulandrelativelyrigorousdescriptionoftheprocessthroughwhichindividualpreferencesandphysicalrelationshipsinteracttodetermineanequilibriumpureinterestrate。Thisisgenerallyfollowedbytheassertionthatsomehowamarketrisk-premiumisalso确定 withthepricesofassetsadjustingaccordinglytoaccountfordifferencesintheirrisk。AusefulrepresentationoftheviewofthecapitalmarketimpliedinsuchdiscussionsisillustratedinFigure1.Inequilibrium capitalassetpriceshaveadjustedsothattheinvestor ifhefollowsrationalprocedures(primarilydiversification) isabletoattainanydesiredpointalongacapitalmarketline？Hemayobtainahigherexpectedrateofreturnonhisholdingsonlybyincurringadditionalrisk。Ineffect 市场presentshimwithtwoprices:thepriceoftime orthepureinterestrate(shownbytheintersectionofthelinewiththehorizontalaxis) 和priceofrisk，theadditionalexpectedreturnperunitofriskborne (reciprocaloftheslopeoftheline)。* Agreatmanypeopleprovidedcommentsonearlyversionsofthispaperwhichledtomajorimprovementsintheexposition。Inadditiontothereferees whoweremosthelpful,theauthorwishestoexpresshisappreciationtoDr.HarryMarkowitzoftheRANDCorporation ProfessorJackHirshleiferoftheUniversityofCaliforniaatLos洛杉矶，andtoProfessorsYoramBarzel，GeorgeBrabb、 BruceJohnson、 WalterOiandR.HaneyScottoftheUniversityofWashington。tAssociateProfessorofOperationsResearch，UniversityofWashington。1.Althoughsomediscussionsarealsoconsistentwithanon 线性 (butmonotonic) 曲线。425

結果 (中文) 3:

williamf.sharpet1.introductiononeoftheproblemswhichhasplaguedthoseattemptingtopredictthebehaviorofcapitalmarketsistheabsenceofabodyofpositivemicro—economictheorydealingwithconditionsofrisk。althoughmanyusefulinsightscanbeobtainedfromthetraditionalmodelsofinvestmentunderconditionsofcertainty，thepervasiveinfluenceofriskinfinancialtrans—actionshasforcedthoseworkinginthisareatoadoptmodelsofpricebehaviorwhicharelittlemorethanassertions.atypicalclassroomex—planationofthedeterminationofcapitalassetprices，例如，usuallybeginswithacarefulandrelativelyrigorousdescriptionoftheprocessthroughwhichindividualpreferencesandphysicalrelationshipsinteracttodetermineanequilibriumpureinterestrate。thisisgenerallyfollowedbytheassertionthatsomehowamarketrisk premiumisalso确定，withthepricesofassetsadjustingaccordinglytoaccountfordifferencesintheirrisk。ausefulrepresentationoftheviewofthecapitalmarketimpliedinsuchdiscussionsisillustratedinfigure1失衡，资本资产。priceshaveadjustedsothattheinvestor，ifhefollowsrationalprocedures（primarilydiversification），isabletoattainanydesiredpointalongacapitalmarketline？hemayobtainahigherexpectedrateofreturnonhisholdingsonlybyincurringadditionalrisk Ineffect市场。presentshimwithtwoprices：thepriceoftime，orthepureinterestrate（shownbytheintersectionofthelinewiththehorizontalaxis）和priceofrisk，theadditionalexpectedreturnperunitofriskborne（的reciprocaloftheslopeoftheline）。* agreatmanypeopleprovidedcommentsonearlyversionsofthispaperwhichledtomajorimprovementsintheexposition inadditiontothereferees，whoweremost。乐于助人，theauthorwishestoexpresshisappreciationtodr.harrymarkowitzoftherandcorporation，professorjackhirshleiferoftheuniversityofcaliforniaatlosAngeles，andtoprofessorsyorambarzel，GeorgeBrabb，BruceJohnson，WalterOiandr.haneyscottoftheuniversityofwashington。tassociateprofessorofoperationsresearch，universityofwashington。1 Althoughsomediscussionsarealsoconsistentwithanon（butmonotonic）曲线的线性。四百二十五