證券博迪chppt課件(2)-wenkub
2023-05-18 08:13:09 本頁(yè)面
【正文】 eading 112 Risk Aversion and Value: Using the Sample Investment U = E ( r ) .005 A ? 2 = 14 .005 A () 2 Risk Aversion A Value High 5 % 3 % Low 1 % Riskfree rate(utility) = 6% ?certainty equivalent rate確定性等價(jià)收益率 ?The certainty equivalent rate of a portfolio is the rate that riskfree investment would need to offer with certainty to be considered equally attractive as the risky portfolio. ?The utility provided by a riskfree portfolio is simply the rate of return on the portfolio. Benchmark for evaluating portfolios 113 Continue Utility function provides a convenient benchmark for evaluating portfolios: a portfolio is desirable only if its certainty equivalent return exceeds that of the riskfree alternative. ? ?? ? 22ififiiArrErArEU??＞＞???114 Risk Aversion and Utility Values ? Risk aversion and fair game ? A fair game is a risky prospect that has a zerorisk premium.(riskfree rate is Rf) investor A certainty equivalent rate risk averse riskneutral risk lover 115 Utility and Indifference Curves ? 均值方差標(biāo)準(zhǔn) （ Meanvariance criterion) ? 對(duì)于證券 A和證券 B， 當(dāng)且僅當(dāng) ? 至少有一項(xiàng)不相等，則 “ A占優(yōu)于 B”。 ? 風(fēng)險(xiǎn)評(píng)價(jià)總是以某一預(yù)期結(jié)果（各種可能值的加權(quán)平均值）為中心； ? 偏離預(yù)期結(jié)果的各個(gè)可能結(jié)果包括變好和變壞兩個(gè)方面 ； ? 風(fēng)險(xiǎn)就是以 預(yù)期結(jié)果為中心 的各個(gè)可能結(jié)果發(fā)生概率的 離散程度 。 ? “ 愚蠢的人說(shuō)，不要把所有的雞蛋放在一個(gè)籃子里；而聰明的人卻說(shuō)，把你的雞蛋放在一個(gè)籃子里，然后看管好那個(gè)籃子。 ”－－－塞萬(wàn)提斯， 1605。 13 Investment process Security and market analysis Portfolio theory Chapter 6 Chapte
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