投资学,9e,精要版,48772,48760,英文PPT Chap004.ppt

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1、CHAPTER4RiskAversionandCapitalAllocationtoRiskyAssets6-2AllocationtoRiskyAssetsInvestorswillavoidriskunlessthereisareward.Theutilitymodelgivestheoptimalallocationbetweenariskyportfolioandarisk-freeasset.6-3RiskandRiskAversionSpeculationTakingconsider

2、ableriskforacommensurategainPartieshaveheterogeneousexpectations6-4RiskandRiskAversionGambleBetorwageronanuncertainoutcomeforenjoymentPartiesassignthesameprobabilitiestothepossibleoutcomes6-5RiskAversionandUtilityValuesInvestorsarewillingtoconsider:r

3、isk-freeassetsspeculativepositionswithpositiveriskpremiumsPortfolioattractivenessincreaseswithexpectedreturnanddecreaseswithrisk.Whathappenswhenreturnincreaseswithrisk?6-6Table4.1AvailableRiskyPortfolios(Risk-freeRate=5%)Eachportfolioreceivesautility

4、scoretoassesstheinvestor’srisk/returntradeoff6-7UtilityFunctionU=utilityE(r)=expectedreturnontheassetorportfolioA=coefficientofriskaversions2=varianceofreturns½=ascalingfactor6-8Table4.2UtilityScoresofAlternativePortfoliosforInvestorswithVaryingDegre

5、eofRiskAversion6-9Mean-Variance(M-V)CriterionPortfolioAdominatesportfolioBif:And6-10EstimatingRiskAversionUsequestionnairesObserveindividuals’decisionswhenconfrontedwithriskObservehowmuchpeoplearewillingtopaytoavoidrisk6-11CapitalAllocationAcrossRisk

6、yandRisk-FreePortfoliosAssetAllocation:Isaveryimportantpartofportfolioconstruction.Referstothechoiceamongbroadassetclasses.ControllingRisk:Simplestway:Manipulatethefractionoftheportfolioinvestedinrisk-freeassetsversustheportioninvestedintheriskyasset

7、s6-12BasicAssetAllocationTotalMarketValue$300,000Risk-freemoneymarketfund$90,000Equities$113,400Bonds(long-term)$96,600Totalriskassets$210,0006-13BasicAssetAllocationLety=weightoftheriskyportfolio,P,inthecompleteportfolio;(1-y)=weightofrisk-freeasset

8、s:6-14TheRisk-FreeAssetOnlythegovernmentcanissuedefault-freebonds.Risk-freeinrealtermsonlyifpriceindexedandmaturityequaltoinvestor’sholdingperiod.T-billsviewedas“the”risk-freeassetMoneymarketfundsalsoconsideredrisk-freeinpractice6-15Figure4.3SpreadBe