Lecture01投资的收益、风险与效用函数.pdf

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1、第一章投资的收益、风险与效用函数投资就是为了取得未来的资产使用权而转让现在的资产使用权，以期在未来获得更多的货币收入。投资就是规划现金流的形式。现金流则可以通过每一时期的现金流量来表述，例如(-1，0.1，0.1，0.1，1.1)；也可以用图表形式表示。图1.1现金流图示KeyFeaturesinFinancialMarketsTheComparisonPrinciple:Thefinancialmarketprovidesabasisforcomparingoneinvestmentalternativewith

2、othersYouruncleoffersyouaspecialinvestmentopportunity:Youlendhim$100nowandherepaysyou$110oneyearlater.Willyoutaketheoffer?ConsiderationoftheprevailinginterestrateChapter1KeyFeaturesinFinancialMarkets(Cont’d)No-Arbitrage:Aninvestorcannotearnmoneywithoutinvestingan

3、ythingConsider(fictitious)banksthatoffertoloanoracceptdepositsatthesamerateofinterest.Supposethattherateatonebankforloansanddepositsis10%andatanotherbanktherateis12%.Whatwouldhappen?Thiskindofthingsdoesnotoccur,oratleastnotveryoftenTheinterestratesofthetwobankswo

4、uldsoonequalizeRulingoutthepossibilityofarbitrageisasimpleidea,butithasprofoundconsequencesChapter1KeyFeaturesinFinancialMarkets(Cont’d)Dynamics:ThemarketchangesovertimeThefuturepriceofanassetisnotregardedasasinglenumber,butratherasaprocessmovingintimeandsubjec

5、ttouncertainty:Binomiallatticemodels,differenceequationmodels,anddifferentialequationmodelsTocharacterisetheprocess:animportantpartoftheinvestmentscience(modelling)Chapter1KeyFeaturesinFinancialMarkets(Cont’d)RiskAversion:Aninvestoracceptsmoreriskonlyifheexpectst

6、ogetgreaterexpectedreturnIfariskaverseinvestorisgiventwoinvestmentopportunitieswiththesamecostandthesameexpectedreturn,onewithcertainreturnandtheotherwithanuncertainreturn,theinvestorwillprefertheformeroneMean–variancemodelandutilityfunctionRationalandirrationa

7、linvestors;behaviouraleconomics/financeChapter1TypicalInvestmentProblemsChapter1PortfolioSelectionPortfolio:Allocationofcapitalindifferentassets(combinationofdifferentcashflowstreams)Portfolioselectionisbasedontheriskaversionprinciple-neoclassicalfinanceBalancebetwe

8、enreturnandriskChapter1PricingPricing:DeterminationofthefairpriceofanassetorinvestmentThereisaninvestmentthatpaysyou$110oneyearlater.Howmuchisthisinvestmentworthtoday?Ifacon