'Increasing utility standard deviation' diaporamas de présentation

Topic 1 Risk Aversion and Capital Allocation to Risky Assets

1.02k views • 65 slides

Topic 1 (Ch. 6) Risk Aversion and Capital Allocation to Risky Assets

897 views • 65 slides

Capital Asset Pricing Model Part 2: The Empirics

Capital Asset Pricing Model Part 2: The Empirics. RECAP: Preference. Ingredients 5 Axioms for Expected Utility Theorem Prefer more to less (Greedy) Risk aversion Assets jointly normally distributed. Expected Return E(R p ). Increasing Utility. Standard Deviation ? (R p ).

481 views • 18 slides

Chapter 6

Risk and Risk Aversion. Chapter 6. Risk - Uncertain Outcomes. p = .6. W 1 = 150 Profit = 50. W = 100. 1-p = .4. W 2 = 80 Profit = -20. E(W) = pW 1 + (1-p)W 2 = 6 (150) + .4(80) = 122 s 2 = p[W 1 - E(W)] 2 + (1-p) [W 2 - E(W)] 2 = 0.6 (150-122) 2 + 0.4(80-122) 2 = 1,176,000

304 views • 17 slides