高级微观经济学-英文(东南大学 周勤).ppt

Metric Relative risk aversion index: The wealth changes in proportion Definition: Subjective probability theory Alias paradox: The first lotteries choice: A----you can get $50 with 100% probability. B---- you will get $250 with 10%, and $50 with 89%, and 0 with 1%. The second lotteries choice: C----get $50 with 11% and 0 with 89%. D---- $250 with 10%, and 0 with 90%. Subjective probability theory Alias paradox: We observed usually that , BUT, as the v.N-M expected utility function indicates, Subjective probability theory People will update their subjective probability. Bayes’ theorem: Assignment Textbook:ex.11.7, ex.11.10, ex.11.11 Lotteries 2 1 3 L1 L2 expection utility theorem 1 3 2 1 L1 L2 3 2 3 3 1 L1 L2 3 2 Risk aversion u(x) x u(x1) u(x2) x1 x2 Certainty equivalence u(x) x u(x1) u(x2) x1 x2 Probability premium u(.) x x A gambling acceptable set x2 x1 Alias paradox: $250 A B 0 $50 C D Lecture 9: time and assets market Zhou Qin Contents Inter-temporal preferences Two periods Several periods Asset market CAPM APT Complete market Pure arbitrage Inter-temporal preferences Utility function of inter-temporal Every period consumption ct depend on how much he consumed and invested in period t-1. Inter-temporal preferences Two periods model : In the case with out any uncertainty First order condition: If means Inter-temporal preferences Two periods model with uncertainty investment. Endowment wealth w. Period1: consume c1, invest the rest wealth in two assets, (1-x) percentage has a certain return of R0 and x pays a random return of Period2: Utility function: Inter-temporal preferences Two periods model: Indirect utility function of period 1 with w. First order condition: Inter-temporal preferences several periods model Period t: consume ct, invest the rest wealth in two assets, (1-xt) percentage has a certain return of R0 and xt pays a random return of Periodt+1: Utility function: Inter-temporal preferences