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Capital asset pricing model (CAPM) is an equilibrium model which uses to show the relationship between the risk and return of an individual asset or portfolio of assets. According to the portfolio theory, investors use diversification in order to reduce unsystematic risk. Efficient portfolios will dominate other investments and each investor will select one of the efficient portfolios based on the degree of his risk-aversion. Previous studies done in Iran or other countries on CAPM, considered the application of the model for individual stocks, portfolios of stocks, specific assets, or the market indexes.
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