风险管理与不确定性分析在投资决策中应用.pdfVIP

RISKANDUNCERTAINTY

Riskexistswhereadecisionmakerhasknowledgethatseveralpossiblefuture

outcomes

arepossible,usuallyduetopastexperience.Thispastexperienceenabadecision

makertoestimatetheprobabilityofthelikelyoccurrenceofeachpotentialfuture

outcome.Riskcanbequantified.Riskinbusinessisthechancethatfutureeventsor

resultsmaynotbeasexpected.Thiscantaketwoforms:

Downsiderisk(purerisk)

Upsiderisk(speculativerisk)

●Uncertaintyexistswhenthefutureisunknownandthedecisionmakerhasnopast

experienceonwhichtobasepredictions.Uncertaintycannotbequantifiedbut

techniquescanbeadoptedtoreduceuncertainty.

Wewouldassumetheinvestorarerationalandriskadverse.

i.e.samerisk–higherreturn

samereturn–lowerrisk

Whereas,riskandreturnarevariable

i.e.highrisk–highreturn

lowrisk–lowreturn

Selectionofinvestmentdependsondecision-maker’sattitudeofrisk(riskpreference)

(a)Riskseeker–Anoptimist.Adecisionmakerwhoisinterestedinthebestoutcomes

nomatterhowsmallachancethattheymayoccur.

(b)Riskneutral–Adecisionmakerwhoisconcernedwiththemostlikelyoutcome.

(c)Riskaverse–Apessimist.Adecisionmakerwhoactsontheassumptionthatthe

worstoutcomemightoccur.

EXPECTEDVALUE

Anexpectedvalueiscomputedbymultiplyingthevalueofeachpossibleoutcomebythe

probabilityofthatoutcome,andsummingtheresults.Whenfacedwithanumberof

alternativedecisions,theonewiththehighestEVshouldbechosen.

Expectedvaluesaresimply-averageoutcom