第Ⅰ讲货币と金融-法政大学.ppt

14-3. Expected Utility and Risk Preference 　期待効用とリスク選好 v(X)＝u 　　 ?indifferent between U and V ? risk neutral v(X)＝u 　　 ?U点でもV点でも無差別 ?危険中立的 Arrow – Pratt’s degree of risk-aversion by using derivatives of utility function. Absolute risk aversion = |u (X)/u (X)| = |2nd derivative of utility/1st derivative of utility | Relative risk aversion = |Xu(X)/u (X)| = |X·2nd derivative of utility/1st derivative of utility | アロー＝プラットの危険回避度 絶対的危険回避度＝｜u”(x)/u’(x)｜＝｜効用の２次微分／効用の１次微分｜ 相対的危険回避度＝｜xu”(x)/u’(x)｜＝｜x?効用の２次微分／効用の１次微分｜ * 15. Mean-variance Approach　平均?分散接近 the rate of return on risky assets be i1 in boom and i2 in recession Probability of boom and recession be p1 and p2 Average rate of return u = p１i１＋p２i２ Variance v２＝p１ (i１?u)２＋p２ ( i２?u)２ Average rate of return on risky assets A and B = uＡ, uＢ Holding ratio of them = a, b ( = 1 – b ) Average rate of return the two assets μ = auＡ＋buＢ Variance of rates of return σ２＝a２σＡ２＋b２σＢ２＋2abρσＡσＢ Where ρ = correlation coefficient, σＡ = standard deviation of A, σＢ = standard deviation of B 　危険資産の収益率＝好況時ではi１、不況時ではi２、 　起こる確率＝好況がp１、不況がp２ 　平均収益率u＝p１i１＋p２i２、 　危険を表す分散v２＝p１ (i１?u)２＋p２ ( i２?u)２ 　危険資産AとBの平均収益率uＡ、uＢ、それぞれの保有比率a、b(＝1?a) 　両者のポートフォリオの平均収益率μ＝auＡ＋buＢ 　　収益率の分散σ２＝a２σＡ２＋b２σＢ２＋2abρσＡσＢ ただし、ρ＝相関係数、σＡ＝Aの標準偏差、σＢ＝Bの標準偏差 * 16-1. Investment Opportunities and Effective Frontier 　投資機会と有効フロンティア Effective Frontier = a set of points that bring about a maximum rate of return with the same variance among feasible investment opportunities (1) the average return μ on risky assets R and Q on the vertical axis, its variance v2 on the horizontal axis and the correlation coefficient = ρ the investment opportunity line of their portfolio is ① when ρ = 1 ? a straight line that connects points R and Q ② When ρ = -1 ? a polygonal line that connects points R, Q and S ③ When -1 ρ 1 ? a curve that connects points R and Q The upper part of the convex curve = Effective Frontier 有効フロンティア ＝実行可能な投資機会集合のうちで分散が同じなら最大の収益率をもたらす点の集合 （１）危険資産RとQの収益率の平均uを