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CHAPTER 6
Risk Aversion and Capital Allocation to Risky Assets
Curriculum name: Investment 投资学
Curriculum teacher: Ying Dong 董莹
Major: Finance 金融学专业
INVESTMENTS |BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
6-2
Allocation to Risky Assets
• Investors will avoid risk unless there
is a reward. (trade-off)
• The utility model gives the optimal
allocation between a risky portfolio
and a risk-free asset. (optimal)
INVESTMENTS |BODIE, KANE, MARCUS
6-3
Risk and Risk Aversion
• Speculation • Gamble
– Taking – Bet or wager on
considerable an uncertain
risk for a outcome for
commensurate enjoyment
gain 风险厌恶与
投资不矛盾 – Parties assign the
– Parties have
same probabilities
heterogeneous
to the possible
expectations outcomes投资于公平博弈
异质预期 (风险溢价为0)
INVESTMENTS |BODIE, KANE, MARCUS
6-4
Risk Aversion and Utility Values
• Investors are willing to consider
– risk-free assets 无风险资产
– speculative positions with positive risk
premiums 正风险溢价资产
• Portfolio attractiveness increases with
expect
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