西方经济学 微观部分 第十三节 Ch13_Risky Assets.ppt

Chapter Thirteen Risky Assets 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 av. 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 Constraints for Risky Assets Portfolio’s rate-of-return variance is Budget Constraints for Risky Assets Portfolio’s ra