CAPM – MODEL RAVNOTEŽE NA TRŽIŠTU KAPITALA

Abstract

The work researches and analyses CAPM, as one of the models of equilibrium at the capital market. The first part of the work briefly elaborates the basic theories of capital market or theories of the market equilibrium as an integral part of the portfolio theory. The second part of the work discusses in details the standard CAPM form, but first the assumptions of the model and its derivation in conditions of those rather rigid assumptions. After that, the subject of analysis is the impact of abandoning certain basic assumptions on the model functioning and sustainability of its basic assumption on linear relations between the expected return and the systematic risk of particular security or portfolio. In this way, we actually arrive at the so-called more realistic versions or non-standard CAPM form, and also multifactor CAPM.