Ch13Risky Assets(微观-范里安-(上海交通大学,赵旭 )

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1、ChapterThirteenRiskyAssetsMeanofaDistributionArandomvariable(r.v.)wtakesvaluesw1,…,wSwithprobabilities1,...,S(1+···+S=1).Themean(expectedvalue)ofthedistributionistheav.valueofther.v.;VarianceofaDistributionThedistribution’svarianceisther.v.’sav.squareddeviationfromtheme

2、an;Variancemeasuresther.v.’svariation.StandardDeviationofaDistributionThedistribution’sstandarddeviationisthesquarerootofitsvariance;St.deviationalsomeasuresther.v.’svariability.MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamevarianceanddifferentmea

3、ns.MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamemeananddifferentvariances.PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturn

4、ispreferred(lessrisk).PreferencesarerepresentedbyautilityfunctionU(,).Uasmeanreturn.Uasrisk.PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherriskisabad.MeanReturn,St.Dev.ofReturn,PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherrisk

5、isabad.MeanReturn,St.Dev.ofReturn,PreferencesoverRiskyAssetsHowistheMRScomputed?PreferencesoverRiskyAssetsHowistheMRScomputed?PreferencesoverRiskyAssetsMeanReturn,St.Dev.ofReturn,PreferredHighermeanreturnisagood.Higherriskisabad.BudgetConstraintsforRiskyAssetsTwoassets.

6、Risk-freeasset’srate-or-returnisrf.Riskystock’srate-or-returnismsifstatesoccurs,withprob.s.Riskystock’smeanrate-of-returnisBudgetConstraintsforRiskyAssetsAbundlecontainingsomeoftheriskystockandsomeoftherisk-freeassetisaportfolio.xisthefractionofwealthusedtobuytheriskystock

7、.Givenx,theportfolio’sav.rate-of-returnisBudgetConstraintsforRiskyAssetsx=0andx=1BudgetConstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurchasedmusthaveBudgetConstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurc

8、hasedmusthaveSoportfolio’sexpectedrate-of-returnriseswithx(morestockintheportfolio