Chap006风险厌恶与风险资产的配置课件.ppt

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1、CHAPTER6RiskAversionandCapitalAllocationtoRiskyAssets风险厌恶与风险资产的配置AllocationtoRiskyAssets风险资产的配置Investorswillavoidriskunlessthereisareward.投资者是风险趋避的除非风险会产生收益Theutilitymodelgivestheoptimalallocationbetweenariskyportfolioandarisk-freeasset.效用模型认为最优的资产配置是风险组合和无风险资产的一个最优搭配2RiskandRiskAversion风险与风险趋

2、避Speculation投机Takingconsiderableriskforacommensurategain考虑风险补偿Partieshaveheterogeneousexpectations参与者有不同的期望，会对较高赢面的结果下较大的赌注，否则宁愿不做3RiskandRiskAversion风险与风险趋避Gamble赌博Betorwageronanuncertainoutcomeforenjoyment享受为不确定性结果的下注Partiesassignthesameprobabilitiestothepossibleoutcomes参与者对不同概率的结果下同样的赌注，为享受

3、不确定性下的结果4RiskAversionandUtilityValues风险厌恶与效用价值Investorsarewillingtoconsider:risk-freeassets无风险资产speculativepositionswithpositiveriskpremiums正值风险溢价的投机Portfolioattractivenessincreaseswithexpectedreturnanddecreaseswithrisk.收益越高风险越低组合就越吸引投资者Whathappenswhenreturnincreaseswithrisk?如果风险与收益同步上升？5Table

4、6.1AvailableRiskyPortfolios(Risk-freeRate=5%)可供选择的风险组合Eachportfolioreceivesautilityscoretoassesstheinvestor’srisk/returntradeoff效用分数就是用一个函数来对投资者获得的风险与收益进行打分排序，选择最好的组合6UtilityFunction效用方程U=utility效用E(r)=expectedreturnontheassetorportfolio期望收益A=coefficientofriskaversion风险趋避系数s2=varianceofreturns

5、方差，或者风险½=ascalingfactor尺度调节因子7Table6.2UtilityScoresofAlternativePortfoliosforInvestorswithVaryingDegreeofRiskAversion几种投资组合对不同风险厌恶水平投资者的效用8Mean-Variance(M-V)Criterion均值方差准则PortfolioAdominatesportfolioBif:And9EstimatingRiskAversion估计风险厌恶水平Usequestionnaires调查问卷Observeindividuals’decisionswhencon

6、frontedwithrisk观察面对风险时的个人决策选择Observehowmuchpeoplearewillingtopaytoavoidrisk观察人们是否愿意付钱来避免风险10CapitalAllocationAcrossRiskyandRisk-FreePortfolios风险资产与无风险资产组合的资本配置AssetAllocation:Isaveryimportantpartofportfolioconstruction.构建投资组合时非常重要的步骤Referstothechoiceamongbroadassetclasses.是指大类资产的偏好，如股票、债券、货币市场

7、证券或者其他资产ControllingRisk:Simplestway:Manipulatethefractionoftheportfolioinvestedinrisk-freeassetsversustheportioninvestedintheriskyassets最简单的方法就是觉得多少份额投资于无风险资产，多少在风险资产上11BasicAssetAllocation基本资产配置TotalMarketValue$300,000Risk-freemoneymar