12 不确定性 uncertainty 2009-11-02.ppt

Chapter Twelve Uncertainty 不确定性 对待风险的态度 案例 — 投掷硬币 正面1/2 反面1/2 风险补偿 风险折扣 投资行为 赌博行为 投资者：风险厌恶 赌徒：风险喜好 来自实物经济 由赌场索取 风险中性 Structure State contingent consumption (状态依存的消费） State-contingent budget constraint Preferences under uncertainty Choice under uncertainty Risk aversion Diversification and risk spreading Uncertainty is Pervasive What is uncertain in economic systems? tomorrow’s prices future wealth future availability of commodities present and future actions of other people. Uncertainty is Pervasive What are rational responses to uncertainty? buying insurance (health, life, auto) 买保险 a portfolio of contingent consumption goods. 分散化 States of Nature Possible states of Nature: “car accident” (a) “no car accident” (na). Accident occurs with probability ?a, does not with probability ?na ; ?a + ?na = 1. Accident causes a loss of $L. Contingencies A state-contingent consumption plan is implemented only when a particular state of Nature occurs. E.g. take a vacation only if there is no accident. State-Contingent Budget Constraints Each $1 of accident insurance costs ?. Consumer has $m of wealth. Cna is consumption value in the no-accident state. Ca is consumption value in the accident state. State-Contingent Budget Constraints Cna Ca m The endowment bundle. Without insurance, Ca = m - L Cna = m. State-Contingent Budget Constraints Buy $K of accident insurance. （意外保险）. Cna = m - ?K. （ ?K 为premium(保费)） Ca = m - L - ?K + K = m - L + (1- ?)K. So K = (Ca - m + L)/(1- ?) And Cna = m - ? (Ca - m + L)/(1- ?) I.e. State-Contingent Budget Constraints Cna Ca m The endowment bundle. State-Contingent Budget Constraints Cna Ca m The endowment bundle. Where is the most preferredstate-contingentconsumption plan? Preferences Under Uncertainty 2 states of nature: At probability ?a , consumption is ca At probability ?na , consumption is cna ?a + ?na = 1. Utility is U(ca, can;?a, ?na). Preferences Under Uncertainty Expected utility function 预期效用 Von-Neuman-Morgenster