快考试了,有一关于ASSET PRICING MODELS的重要问题急于请教大家,考试可能会考!

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SCHWESTER STUDY NOTES    BOOK4     study session 12   " An introduction to asset pricing models"告诉我们 total risk= systematic risk+ unsystematic risk, 而在efficient frontier上线仅有M点是仅存在systematic risk 的,而其他在efficient frontier上的组合还存在unsystematic risk,那么为什么这些点的total risk比M点的total risk 还小呢?(例如SCHWESTER STUDY NOTES    BOOK4   125页上figure 1上的Y点,X点等)

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graph on page 125 shows efficient frontier and CML which actually have nothing to do with systematic and unsystematic risks so far. Points on efficient frontier are different portfolios that have different risks and different expected returns; and points on CML are portfolios containing portfolios on efficient frontier plus risk-free assets. When you are dealing with SML, then you need to consider systematic and unsystematic risks. If you look at the graph on page 129, you'll find the Market portfolit which contains every risky asset in the market.