Wolfram Computation Meets Knowledge

Capital Asset Pricing Model

The capital asset pricing model is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

The expected return equals the risk\[Hyphen]free interest rate plus the beta coefficient times the difference between the return on market and the risk\[Hyphen]free interest rate.

Formula

QuantityVariable["r", "Unitless"] == QuantityVariable[Subscript["r", "f"], "Unitless"] + QuantityVariable["β", "Unitless"]*(-QuantityVariable[Subscript["r", "f"], "Unitless"] + QuantityVariable[Subscript["r", "m"], "Unitless"])

symbol description physical quantity
r expected return "Unitless"
rf risk­free interest rate "Unitless"
β beta coefficient "Unitless"
rm return on market "Unitless"

Forms

Examples

Get the resource:

In[1]:=
ResourceObject["Capital Asset Pricing Model"]
Out[1]=

Get the formula:

In[2]:=
FormulaData[ResourceObject["Capital Asset Pricing Model"]]
Out[2]=

Use some values:

In[3]:=
FormulaData[
 ResourceObject["Capital Asset Pricing Model"], {QuantityVariable[
\!\(\*SubscriptBox[\("r"\), \("f"\)]\),"Unitless"] -> None, 
  QuantityVariable["r","Unitless"] -> Quantity[9, "Percent"]}]
Out[3]=

Source Metadata

Publisher Information