微观金融技术与方法2课件.pptVIP

微观金融技术与方法 第一章 偏好表示与风险厌恶 1.1 引言 期望效用理论全面考虑了投资收益的风险和收益的概率分布情况，是研究不确定环境下个体消费和投资决策的主要工具。 风险厌恶型投资者的投资行为 本章主要建立期望效用理论的基础，和资产定价理论的微观经济基础。 对待风险的态度 风险厌恶的度量 两基金货币分离 1.2 一些常用的投资决策准则 一、 收益最大准则 收益最大准则应用于完全没有风险的情况下。由此法则，只需选择收益率最高的投资机会即可。经济学中的生产者理论和价值理论广泛使用这一准则。 在金融经济学中，不确定环境下，收益最大准则不再适用。 二、 最大期望收益准则 使用投资收益的期望值作为各种投资方案的比较，是收益最大准则在不确定情形下的推广。 是否期望收益最大准则就是一个最优的决策法则呢？（否） Example 1 Gamble (X) flip of a coin if heads, you receive $1: X1 = +1 if tails, you pay $1: X2 = -1 E(X) = (0.5) (1) + (0.5) (-1) = 0 if you play this game many times, it is unlikely that you will win or lose anything Example 2 Gamble (X) flip of a coin if heads, you receive $10: X1 = +10 if tails, you pay $1: X2 = -1 E(X) = (0.5) (10) + (0.5) (-1) = 4.50 if you play this game many times, you will be a big winner How much would you pay to play this game: perhaps as much as a $4.50 But of course the answer depends upon your preference to risk Fair Gambles if the cost to play = expected value of these gambles the outcome then the gamble is said to be actuarially fair Common empirical findings: 1. individuals may agree to flip a coin for small amounts of money, but usually refuse to bet large sums of money ? 2. people will pay small amounts of money to play actuarially unfair games (for example, cost = $1, but E(X) 1) - but will avoid paying a lot Why do these empirical findings occur? 圣彼得堡悖论（Saint Petersburg paradox） Gamble (X): A coin is flipped until a head appears, You receive $2n , where n is the flip on which the head occurred states: X1 = $2 X2 = $4 X3 = $8 ... Xn = $2n prob: α1 = 1/2 α2 = 1/4 α3 = 1/8 ... αn = 1/2n ? ? E(X) = ? Paradox: no one would pay an actuarially fair price to play this game (no one would even pay close to the fair price)  Explaining the St. Petersburg Paradox this paradox arises because individuals do not make decisions based on purely on their wealth, but rather on the utility of their