Chap006 Risk Aversion and Capital Allocation to Risky Assets 《投资学》第九版教材.pptVIP

CHAPTER 6;Allocation to Risky Assets;Risk and Risk Aversion;Risk and Risk Aversion;Risk Aversion and Utility Values;Table 6.2 Utility Scores of Alternative Portfolios for Investors with Varying Degree of Risk Aversion;Mean-Variance (M-V) Criterion;Estimating Risk Aversion;Capital Allocation Across Risky and Risk-Free Portfolios ;Basic Asset Allocation;Basic Asset Allocation;The Risk-Free Asset;Figure 6.3 Spread Between 3-Month CD and T-bill Rates ;It’s possible to create a complete portfolio by splitting investment funds between safe and risky assets. Let y=portion allocated to the risky portfolio, P (1-y)=portion to be invested in risk-free asset, F.;rf = 7%;Example (Ctd.);Example (Ctd.);Example (Ctd.);Figure 6.4 The Investment Opportunity Set ;Lend at rf=7% and borrow at rf=9% Lending range slope = 8/22 = 0.36 Borrowing range slope = 6/22 = 0.27 CAL kinks at P;Figure 6.5 The Opportunity Set with Differential Borrowing and Lending Rates;Risk Tolerance and Asset Allocation;Table 6.4 Utility Levels for Various Positions in Risky Assets (y) for an Investor with Risk Aversion A = 4;Figure 6.6 Utility as a Function of Allocation to the Risky Asset, y;Table 6.5 Spreadsheet Calculations of Indifference Curves;Figure 6.7 Indifference Curves for U = .05 and U = .09 with A = 2 and A = 4 ;Figure 6.8 Finding the Optimal Complete Portfolio Using Indifference Curves ;Table 6.6 Expected Returns on Four Indifference Curves and the CAL;Passive Strategies: The Capital Market Line;Passive Strategies: The Capital Market Line;Passive Strategies: The Capital Market Line;Passive Strategies: The Capital Market Line