Chap006 Risk Aversion and Capital Allocation to Risky Assets 《投资学》博迪 第九版 英文教程文件.pptVIP

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets Allocation to Risky Assets Investors will avoid risk unless there is a reward. The utility model gives the optimal allocation between a risky portfolio and a risk-free asset. Risk and Risk Aversion Speculation Taking considerable risk for a commensurate gain Parties have heterogeneous expectations Risk and Risk Aversion Gamble Bet or wager on an uncertain outcome for enjoyment Parties assign the same probabilities to the possible outcomes Risk Aversion and Utility Values Investors are willing to consider: risk-free assets speculative positions with positive risk premiums Portfolio attractiveness increases with expected return and decreases with risk. What happens when return increases with risk? Table 6.2 Utility Scores of Alternative Portfolios for Investors with Varying Degree of Risk Aversion Mean-Variance (M-V) Criterion Portfolio A dominates portfolio B if: And Estimating Risk Aversion Use questionnaires Observe individuals’ decisions when confronted with risk Observe how much people are willing to pay to avoid risk Capital Allocation Across Risky and Risk-Free Portfolios Asset Allocation: Is a very important part of portfolio construction. Refers to the choice among broad asset classes. Controlling Risk: Simplest way: Manipulate the fraction of the portfolio invested in risk-free assets versus the portion invested in the risky assets Basic Asset Allocation Total Market Value $300,000 Risk-free money market fund $90,000 Equities $113,400 Bonds (long-term) $96,600 Total risk assets $210,000 Basic Asset Allocation Let y = weight of the risky portfolio, P, in the complete portfolio; (1-y) = weight of risk-free assets: The Risk-Free Asset Only the government can issue default-free bonds. Risk-free in real terms only if pric