《微观经济学》第13章 风险资产-英文教学课件（非AI生成）.ppt

ChapterThirteenRiskyAssets1

MeanofaDistributionArandomvariable(r.v.)wtakesvaluesw1,…,wSwithprobabilities?1,...,?S(?1+···+?S=1).Themean(expectedvalue)ofthedistributionistheav.valueofther.v.;2

VarianceofaDistributionThedistribution’svarianceisther.v.’sav.squareddeviationfromthemean;Variancemeasuresther.v.’svariation.

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StandardDeviationofaDistributionThedistribution’sstandarddeviationisthesquarerootofitsvariance;St.deviationalsomeasuresther.v.’svariability.

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MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamevarianceanddifferentmeans.5

MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamemeananddifferentvariances.6

PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).7

PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).PreferencesarerepresentedbyautilityfunctionU(?,?).U?asmeanreturn??.U?asrisk??.8

PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherriskisabad.MeanReturn,?St.Dev.ofReturn,?9

PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherriskisabad.MeanReturn,?St.Dev.ofReturn,?10

PreferencesoverRiskyAssetsHowistheMRScomputed?11

PreferencesoverRiskyAssetsHowistheMRScomputed?12

PreferencesoverRiskyAssetsMeanReturn,?St.Dev.ofReturn,?PreferredHighermeanreturnisagood.Higherriskisabad.13

BudgetConstraintsforRiskyAssetsTwoassets.Risk-freeasset’srate-or-returnisrf.Riskystock’srate-or-returnismsifstatesoccurs,withprob.?s.Riskystock’smeanrate-of-returnis14

BudgetConstraintsforRiskyAssetsAbundlecontainingsomeoftheriskystockandsomeoftherisk-freeassetisaportfolio.xisthefractionofwealthusedtobuytheriskystock.Givenx,theportfolio’sav.rate-of-returnis1