微觀經(jīng)濟(jì)學(xué)課件第5章-資料下載頁
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【正文】 ortfolio invested in the risky asset times the standard deviation of that asset: mp b ?? ?The Investment Portfolio Chapter 5 Slide 83 The Demand for Risky Assets ? Determining b: fmp RbbRR )1( ???)( fmfp RRbRR ???The Investor’s Choice Problem Chapter 5 Slide 84 The Demand for Risky Assets ? Determining b: pmfmfpRRRR ??)( ???mpb ?? /?The Investor’s Choice Problem Chapter 5 Slide 85 The Demand for Risky Assets ? Observations 1) The final equation is a budget line describing the trade off between risk and expected return . Risk and the Budget Line )( p?)p(R=+ mfp f pm( R R )R R σσChapter 5 Slide 86 The Demand for Risky Assets ? Observations: 2) Is an equation for a straight line: 3) c o n s t a n t s a r e a n d ,R ,R mfm ?mfm )/R(R S l o p e ???Risk and the Budget Line =+ mfp f pm( R R )R R σσChapter 5 Slide 87 The Demand for Risky Assets ? Observations 3) Expected return, RP, increases as risk increases. 4) The slope is the price of risk or the riskreturn tradeoff. Risk and the Budget Line Chapter 5 Slide 88 Choosing Between Risk and Return 0 p R e tu r n , of D e v i a ti o n Sta n d a r d ?Expected Return,Rp U2 is the optimal choice of those obtainable, since it gives the highest return for a given risk and is tangent to the budget line. Rf Budget Line m?Rm ??R* U2 U1 U3 Chapter 5 Slide 89 Rf Budget line The Choices of Two Different Investors 0 Expected Return,Rp p R e tu r n , of D e v i a ti o n Sta n d a r d ?Given the same budget line, investor A chooses low returnlow risk, while investor B chooses high return high risk. UA RA A?UB RB m?Rm B?Chapter 5 Slide 90 Rf Budget line Buying Stocks on Margin 0 Expected Return,Rp UA RA A?UA: High risk aversion Stock amp。 Tbill portfolio p R e tu r n , of D e v i a ti o n Sta n d a r d ?UB RB m?Rm B?UB: Low risk aversion The investor would invest more than 100% of their wealth by borrowing or buying on the margin. Chapter 5 Slide 91 Investing in the Stock Market ? Observations ? Percent of American families who had directly or indirectly invested in the stock market ?1989 = 32% ?1995 = 41% Chapter 5 Slide 92 Investing in the Stock Market ? Observations ? Share of wealth in the stock market ?1989 = 26% ?1995 = 40% Chapter 5 Slide 93 Investing in the Stock Market ? Observations ? Participation in the stock market by age ?Less than 35 ? 1989 = 23% ? 1995 = 29% ?More than 35 ? Small increase Chapter 5 Slide 94 Investing in the Stock Market ? What Do You Think? ? Why are more people investing in the stock market? Chapter 5 Slide 95 本章小結(jié) ? 面對未來的不確定性，消費(fèi)者和管理者經(jīng)常要進(jìn)行決策。 ? 消費(fèi)者和投資者關(guān)心不確定結(jié)果的期望值與波動(dòng)程度。 ? 在進(jìn)行不確定選擇時(shí)，消費(fèi)者追求期望效用最大化，它是各種可能結(jié)果帶來的效用的加權(quán)平均，權(quán)數(shù)為各種結(jié)果發(fā)生的概率。 Chapter 5 Slide 96 本章小結(jié) ? 人們對風(fēng)險(xiǎn)的偏好類型有三種：風(fēng)險(xiǎn)規(guī)避型、風(fēng)險(xiǎn)中性型和風(fēng)險(xiǎn)愛好型。 ? 風(fēng)險(xiǎn)規(guī)避者為避免風(fēng)險(xiǎn)而愿意付出的最大的代價(jià)稱為風(fēng)險(xiǎn)貼水。 ? 通過多樣化、購買保險(xiǎn)以及獲得更多信息的方式可以降低風(fēng)險(xiǎn)。 第 5章作業(yè) 練習(xí)題：
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