博迪投资学Chap006章节.pptVIP

CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets Passive Strategies: The Capital Market Line Passive strategy involves a decision that avoids any direct or indirect security analysis Supply and demand forces may make such a strategy a reasonable choice for many investors Passive Strategies: The Capital Market Line Continued A natural candidate for a passively held risky asset would be a well-diversified portfolio of common stocks Because a passive strategy requires devoting no resources to acquiring information on any individual stock or group we must follow a “neutral” diversification strategy Table 6.8 Average Annual Return on Stocks and 1-Month T-bills; Standard Deviation and Reward-to-Variability Ratio of Stocks Over Time * 6-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Risk and Risk Aversion Speculation Considerable risk Sufficient to affect the decision Commensurate gain Gamble Bet or wager on an uncertain outcome Risk Aversion and Utility Values Risk averse investors reject investment portfolios that are fair games or worse These investors are willing to consider only risk-free or speculative prospects with positive risk premiums Intuitively one would rank those portfolios as more attractive with higher expected returns Table 6.1 Available Risky Portfolios (Risk-free Rate = 5%) Utility Function Where U = utility E ( r ) = expected return on the asset or portfolio A = coefficient of risk aversion s2 = variance of returns Table 6.2 Utility Scores of Alternative Portfolios for Investors with Varying Degree of Risk Aversion Figure 6.1 The Trade-off Between Risk and Returns of a Potential Investment Portfolio, P Estimating Risk Aversion Observe individuals’ decisions when confronted with risk Observe how much people are willing to pay to avoid risk Insurance against large losses Figure 6.2 The Indifference Curve Table 6.3 Utility Values of Possibl