清华大学：《微观经济学》课程PPT教学课件（PPT讲稿）Chapter Thirteen Risky Assets

Chapter Thirteen Risky Assets

Chapter Thirteen Risky Assets

Main issue Mean-Variance Utility Budget Constraints for Risky Assets Measuring risk Capital Asset Pricing Model

Main Issue Mean-Variance Utility Budget Constraints for Risky Assets Measuring Risk Capital Asset Pricing Model

Mean of a distribution A random variable(r v )w takes values Wi,, Ws with probabilities ■■■ s=1) The mean(expected value)of the distribution is the average value of the r.v., E[w]=/1p=∑vss

Mean of a Distribution A random variable (r.v.) w takes values w1 ,…,wS with probabilities 1 ,...,S (1 + · · · + S = 1). The mean (expected value) of the distribution is the average value of the r.v.; E[w] w w . s s s S = = =    1

Variance of a distribution The distribution's variance is the r.v. s av squared deviation from the meany varI w 2"") Variance measures the rvs variation

Variance of a Distribution The distribution’s variance is the r.v.’s av. squared deviation from the mean; Variance measures the r.v.’s variation. var[w] w (w ) . s w s s S = = − =     2 2 1

Standard deviation of a Distribution The distribution's standard deviation is the square root of its variance; 2 st dev[w]=ow=voi ∑(s-1)2xs St deviation also measures thervs variability

Standard Deviation of a Distribution The distribution’s standard deviation is the square root of its variance; St. deviation also measures the r.v.’s variability. st. dev[w] w w (w ) . s w s s S = = = − =      2 2 1

Mean and variance Two distributions with the same Probability variance and different means Random variableⅤ alues

Mean and Variance Probability Random Variable Values Two distributions with the same variance and different means

Mean and variance Two distributions with the same Probability mean and different variances Random variableⅤ alues

Mean and Variance Probability Random Variable Values Two distributions with the same mean and different variances

Preferences over Risky assets Higher mean return is preferred Less variation in return is preferred (less risk)

Preferences over Risky Assets Higher mean return is preferred. Less variation in return is preferred (less risk)

Preferences over Risky assets Higher mean return is preferred Less variation in return is preferred (less risk) Preferences are represented by a utility function U(μ,o) U个 as mean returnμ个 U↓ as risk o个

Preferences over Risky Assets Higher mean return is preferred. Less variation in return is preferred (less risk). Preferences are represented by a utility function U(,). U  as mean return  . U  as risk  

Preferences over Risky assets Mean return, H Preferred Higher mean return is a good Higher risk is a bad St Dev of return, o

Preferences over Risky Assets Preferred Higher mean return is a good. Higher risk is a bad. Mean Return,  St. Dev. of Return, 