lecture01投资的收益、风险跟效用函数.pdfVIP

第一章 投资的收益、风险与效用函数 投资就是为了取得未来的资产使用权而转让现在的资产使用权，以期 在未来获得更多的货币收入。 投资就是规划现金流的形式。现金流则可以通过每一时期的现金流量 来表述，例如 (-1 ，0.1，0.1，0.1，1.1)；也可以用图表形式表示。 图1.1 现金流图示 Key Features in Financial Markets The Comparison Principle: The financial market provides a basis for comparing one investment alternative with others Your uncle offers you a special investment opportunity: You lend him $100 now and he repays you $110 one year later. Will you take the offer? Consideration of the prevailing interest rate Chapter 1 Key Features in Financial Markets (Cont’d) No-Arbitrage: An investor cannot earn money without investing anything Consider (fictitious) banks that offer to loan or accept deposits at the same rate of interest. Suppose that the rate at one bank for loans and deposits is 10% and at another bank the rate is 12%. What would happen? This kind of things does not occur, or at least not very often The interest rates of the two banks would soon equalize Ruling out the possibility of arbitrage is a simple idea, but it has profound consequences Chapter 1 Key Features in Financial Markets (Cont’d) Dynamics: The market changes over time The future price of an asset is not regarded as a single number, but rather as a process moving in time and subject to uncertainty: Binomial lattice models, difference equation models, and differential equation models To characterise the process: an important part of the investment science (modelling) Chapter 1 Key Features in Financial Markets (Cont’d) Risk Aversion: An investor accepts more risk only if he exp