《微观经济学》清华大学课件Ch13RiskyAssets-(精品课件).ppt

Budget Constraints for Risky Assets Mean Return, ? St. Dev. of Return, ? Budget Constraints for Risky Assets Budget line Mean Return, ? St. Dev. of Return, ? Budget Constraints for Risky Assets Budget line, slope = Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Mean Return, ? St. Dev. of Return, ? is the price of risk relative to mean return. Choosing a Portfolio Budget line, slope = Where is the most preferred return/risk combination? Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Where is the most preferred return/risk combination? Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Where is the most preferred return/risk combination? Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Where is the most preferred return/risk combination? Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Where is the most preferred return/risk combination? Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Suppose a new risky asset appears, with a mean rate-of-return ry rm and a st. dev. ?y ?m. Which asset is preferred? Choosing a Portfolio Suppose a new risky asset appears, with a mean rate-of-return ry rm and a st. dev. ?y ?m. Which asset is preferred? Suppose Choosing a Portfolio Budget line, slope = Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Budget line, slope = Mean Return, ? St. Dev. of Return, ? Choosing a Portfolio Budget line, slope = Budget line, slope = Higher mean rate-of-return and higher risk chosen in this case. Mean Return, ? St. Dev. of Return, ? Measuring Risk Quantitatively, how risky is an asset? Depends upon how the asset’s value depends upon other assets’ values. E.g. Asset A’s value is $60 with chance 1/4 and $20 with chance 3/4. Pay at most $30 for asset A. Measuring Risk Ass