清华大学中级微观经济学讲义13课件

《清华大学中级微观经济学讲义13课件》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、http://www.sem.tsinghua.edu.cn/ChapterThirteenRiskyAssetsWhatdowedointhisChapter?Westudyaspecialcaseofconsumerchoiceunderuncertainty;Thatis,whenconsumerpreferenceoveruncertaintycanbereducedtoonlytwoparameters:Meanandstandarddeviation.MeanofaDistributionArandomvariable(

2、r.v.)wtakesvaluesw1,…,wSwithprobabilities1,...,S(1+···+S=1).Themean(expectedvalue)ofthedistributionistheaveragevalueofther.v.;VarianceofaDistributionThedistribution’svarianceisther.v.’sav.squareddeviationfromthemean;Variancemeasuresther.v.’svariation.StandardDeviat

3、ionofaDistributionThedistribution’sstandarddeviationisthesquarerootofitsvariance;St.deviationalsomeasuresther.v.’svariability.MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamevarianceanddifferentmeans.MeanandVarianceProbabilityRandomVariableValu

4、esTwodistributionswiththesamemeananddifferentvariances.PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).Preferencesarerepres

5、entedbyautilityfunctionU(,).Uasmeanreturn.Uasrisk.PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherriskisabad.MeanReturn,St.Dev.ofReturn,PreferencesoverRiskyAssetsHowistheMRScomputed?PreferencesoverRiskyAssetsMeanReturn,St.Dev.ofReturn,Prefe

6、rredHighermeanreturnisagood.Higherriskisabad.BudgetConstraintsforRiskyAssetsTwoassets.Risk-freeasset’srate-or-returnisrf.Riskystock’srate-or-returnismsifstatesoccurs,withprob.s.Riskystock’smeanrate-of-returnisBudgetConstraintsforRiskyAssetsAbundlecontainingsomeoftheri

7、skystockandsomeoftherisk-freeassetisaportfolio.xisthefractionofwealthusedtobuytheriskystock.Givenx,theportfolio’sav.rate-of-returnisBudgetConstraintsforRiskyAssetsx=0andx=1BudgetConstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurchasedm

8、usthaveBudgetConstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurchasedmusthaveSoportfo