中微课件范里安版 Micro Ch13.ppt

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1、ChapterThirteenRiskyAssetsWhatdowedointhisChapter?Westudyaspecialcaseofconsumerchoiceunderuncertainty;Thatis,whenconsumerpreferenceoveruncertaintycanbereducedtoonlytwoparameters:Meanandstandarddeviation.MeanofaDistributionArandomvariable(r.v.)wtakesval

2、uesw1,…,wSwithprobabilities1,...,S(1+···+S=1).Themean(expectedvalue)ofthedistributionistheaveragevalueofther.v.;VarianceofaDistributionThedistribution’svarianceisther.v.’sav.squareddeviationfromthemean;Variancemeasuresther.v.’svariation.StandardDev

3、iationofaDistributionThedistribution’sstandarddeviationisthesquarerootofitsvariance;St.deviationalsomeasuresther.v.’svariability.MeanandVarianceProbabilityRandomVariableValuesTwodistributionswiththesamevarianceanddifferentmeans.MeanandVarianceProbabili

4、tyRandomVariableValuesTwodistributionswiththesamemeananddifferentvariances.PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispreferred(lessrisk).PreferencesoverRiskyAssetsHighermeanreturnispreferred.Lessvariationinreturnispre

5、ferred(lessrisk).PreferencesarerepresentedbyautilityfunctionU(,).Uasmeanreturn.Uasrisk.PreferencesoverRiskyAssetsPreferredHighermeanreturnisagood.Higherriskisabad.MeanReturn,St.Dev.ofReturn,PreferencesoverRiskyAssetsHowistheMRScomputed?Prefer

6、encesoverRiskyAssetsMeanReturn,St.Dev.ofReturn,PreferredHighermeanreturnisagood.Higherriskisabad.BudgetConstraintsforRiskyAssetsTwoassets.Risk-freeasset’srate-or-returnisrf.Riskystock’srate-or-returnismsifstatesoccurs,withprob.s.Riskystock’smeanrate

7、-of-returnisBudgetConstraintsforRiskyAssetsAbundlecontainingsomeoftheriskystockandsomeoftherisk-freeassetisaportfolio.xisthefractionofwealthusedtobuytheriskystock.Givenx,theportfolio’sav.rate-of-returnisBudgetConstraintsforRiskyAssetsx=0andx=1BudgetC

8、onstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurchasedmusthaveBudgetConstraintsforRiskyAssetsx=0andx=1Sincestockisriskyandriskisabad,forstocktobepurchasedmusthaveSoportfolio’sexpectedrate-of-returnrise