高级微观经济学time and assets marketPPT.ppt

Lecture 9: time and assets market 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 Several periods model: Indirect utility function of period T-1. First order condition: Inter-temporal preferences Several periods model: For period T-2, when we got then So The first order condition: Asset market CAPM: Capital Asset Pricing Model Consumption of the next period depend on how to invest the wealth in different assets. is the return of asset a and is the percentage of it. Asset 0 is the no risky. Asset market CAPM: Mean-variance efficient: minimize the Variance when the Means are same. Asset market CAPM: The first order condition: If a portfolio is mean-variance efficient, means invest 100% in asset e and 0 in others is M-V efficient too. Then we got: Asset market CAPM: For a=0 and a=e we got: Then we have: That means if we have a M-V efficient portfolio asset an a risky-free asset, we can achieve efficient portfolio set by taking convex combinations of them. (see the fig.) Asset market CAPM: Let e=m, where is the market portfolio of risky assets. And Asset market APT: Arbitrage pricing theory One factor: Construct a portfolio of two assets a and b with x and (1-x) The return will be Asset market APT: Arbitrage pricing theory One factor: If this p