《微观经济学》清华大学课件 Ch13 Risky Assets.pptVIP

Chapter Thirteen Risky Assets Main Issue Mean-Variance Utility Budget Constraints for Risky Assets Measuring Risk Capital Asset Pricing Model Mean of a Distribution A random variable (r.v.) w takes values w1,…,wS with probabilities ?1,...,?S (?1 + · · · + ?S = 1). The mean (expected value) of the distribution is the average value of the r.v.; Variance of a Distribution The distribution’s variance is the r.v.’s av. squared deviation from the mean; Variance measures the r.v.’s variation.  Standard Deviation of a Distribution The distribution’s standard deviation is the square root of its variance; St. deviation also measures the r.v.’s variability.  Mean and Variance Mean and Variance Preferences over Risky Assets Higher mean return is preferred. Less variation in return is preferred (less risk). Preferences over Risky Assets Higher mean return is preferred. Less variation in return is preferred (less risk). Preferences are represented by a utility function U(?,?). U ? as mean return ? ?. U ? as risk ? ?. Preferences over Risky Assets Preferences over Risky Assets Preferences over Risky Assets How is the MRS computed? Preferences over Risky Assets How is the MRS computed? Preferences over Risky Assets Budget Constraints for Risky Assets Two assets. Risk-free asset’s rate-or-return is rf . Risky stock’s rate-or-return is ms if state s occurs, with prob. ?s . Risky stock’s mean rate-of-return is Budget Constraints for Risky Assets A bundle containing some of the risky stock and some of the risk-free asset is a portfolio. x is the fraction of wealth used to buy the risky stock. Given x, the portfolio’s av. rate-of-return is Budget Constraints for Risky Assets Budget Constraints for Risky Assets Budget Constraints for Risky Assets Budget Constraints for Risky Assets Portfolio’s rate-of-return variance is Budget Constraints for Risky Assets Portfolio’s rate-of-return variance is Budget Constraints for Risky Assets Portfolio’s rate-of-return variance is Budget Co