第6罩 风险与风险厌恶 Risk and risk aversion
6-1 第6章 风险与风险厌恶 Risk and Risk Aversion
风险与风险厌恶 Risk and risk aversion 6.1风险与风险厌恶 62资产组合风险 6-2
6-2 风险与风险厌恶 Risk and Risk Aversion 6.1风险与风险厌恶 6.2 资产组合风险
风险与风险厌恶 Risk and risk aversion 风险的存在意味着可能产生一个以上的结果, 单一前景是指将某一初始财富被用于投资时面 临着风险,这一投资机会只产生两种可能的结 果 The presence of risk means that more than one outcome is possible. A simple prospect is an investment opportunity in which a certain initial wealth is placed at risk, and there are only two possible outcomes 6-3
6-3 风险与风险厌恶 Risk and Risk Aversion 风险的存在意味着可能产生一个以上的结果， 单一前景是指将某一初始财富被用于投资时面 临着风险，这一投资机会只产生两种可能的结 果。 The presence of risk means that more than one outcome is possible. A simple prospect is an investment opportunity in which a certain initial wealth is placed at risk, and there are only two possible outcomes
风险-不确定收益 Risk- Uncertain outcomes 概率1:p=.6 收益W1=150利润 Profit=50 W=100 初始投资额 概率2:1=4收益W2=80利润 Profit=20 预期收益E(W) pW1+(1-p)W2=06(150)+0.4(80)=122 预期盈利( expected profit=122-100=22 方差σ2 variance)=pW1-E(W)2+(1p)[W2-E(W =0.6(150-122)2+0.4(80-122)2=1,176000 标准差σ=34,293
6-4 W = 100 初始投资额 收益W1 = 150 利润Profit = 50 概率2: 1-p = .4 收益W2 = 80 利润Profit = -20 预期收益E(W) = pW1 + (1-p)W2 =0.6 (150) +0.4(80) = 122 预期盈利(expected profit)=122-100=22 方差 s2 (variance) = p[W1 - E(W)]2 + (1-p) [W2 - E(W)]2 =0.6 (150-122)2 + 0.4(80-122)2 = 1,176,000 标准差 s = 34,293 风险-不确定收益 Risk - Uncertain Outcomes
风险投资与无风险投资 Risky Investments with risk-Free Investment p W=150 Profit= 50 风险投资 Risky Inv 100 p Wo=80 Profit=-20 无风险投资 Risk Free t-bills Profit=5 预期盈利( The expected profit)=122-100=22 风险溢价 Risk premium=风险投资预期盈利22-国库券盈利5=17 6-5
6-5 W1 = 150 Profit = 50 W2 = 80 Profit = -20 1-p = .4 100 风险投资Risky Inv. 无风险投资Risk Free T-bills Profit = 5 预期盈利(The expected profit) = 122-100=22 风险溢价Risk Premium =风险投资预期盈利22 – 国库券盈利5 = 17 风险投资与无风险投资 Risky Investments with Risk-Free Investment