投资学:Chap006.ppt
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1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets INVESTMENTS | BODIE, KANE, MARCUS Allocation to Risky Assets Investors will avoid risk unless there is a reward. Th
2、e utility model gives the optimal allocation between a risky portfolio and a risk-free asset. INVESTMENTS | BODIE, KANE, MARCUS Risk and Risk Aversion Speculation Taking considerable risk for a commensurate gain Parties have heterogeneous expectations INVESTMENTS | BODIE, KANE, MARCUS Risk and Risk
3、Aversion Gamble Bet or wager on an uncertain outcome for enjoyment Parties assign the same probabilities to the possible outcomes INVESTMENTS | BODIE, KANE, MARCUS Risk Aversion and Utility Values Investors are willing to consider: risk-free assets speculative positions with positive risk premiums P
4、ortfolio attractiveness increases with expected return and decreases with risk. What happens when return increases with risk? INVESTMENTS | BODIE, KANE, MARCUS Table 6.1 Available Risky Portfolios (Risk- free Rate = 5%) Each portfolio receives a utility score to assess the investors risk/return trad
5、e off INVESTMENTS | BODIE, KANE, MARCUS Utility Function U = utility E ( r ) = expected return on the asset or portfolio A = coefficient of risk aversion s2 = variance of returns = a scaling factor 2 1 ( ) 2 UE rAs INVESTMENTS | BODIE, KANE, MARCUS Table 6.2 Utility Scores of Alternative Portfolios
6、for Investors with Varying Degree of Risk Aversion INVESTMENTS | BODIE, KANE, MARCUS Mean-Variance (M-V) Criterion Portfolio A dominates portfolio B if: And BA rErE BA ss INVESTMENTS | BODIE, KANE, MARCUS Estimating Risk Aversion Use questionnaires Observe individuals decisions when confronted with
7、risk Observe how much people are willing to pay to avoid risk INVESTMENTS | BODIE, KANE, MARCUS Capital Allocation Across Risky and Risk- Free Portfolios Asset Allocation: Is a very important part of portfolio construction. Refers to the choice among broad asset classes. Controlling Risk: Simplest w
8、ay: Manipulate the fraction of the portfolio invested in risk-free assets versus the portion invested in the risky assets INVESTMENTS | BODIE, KANE, MARCUS Basic Asset Allocation Total Market Value$300,000 Risk-free money market fund $90,000 Equities$113,400 Bonds (long-term)$96,600 Total risk asset
9、s$210,000 54. 0 000,210$ 400,113$ E W46. 0 00,210$ 600,96$ B W INVESTMENTS | BODIE, KANE, MARCUS Basic Asset Allocation Let y = weight of the risky portfolio, P, in the complete portfolio; (1-y) = weight of risk-free assets: 7 . 0 000,300$ 000,210$ y 3 . 0 000,300$ 000,90$ 1 y 378. 000,300$ 400,113$
10、 :E 322. 000,300$ 600,96$ :B INVESTMENTS | BODIE, KANE, MARCUS The Risk-Free Asset Only the government can issue default-free bonds. Risk-free in real terms only if price indexed and maturity equal to investors holding period. T-bills viewed as “the” risk-free asset Money market funds also considere
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