[北大微观经济学课件]ch12Uncertainty.pptVIP

Chapter Twelve Uncertainty 不确定性 Structure State contingent consumption (依情形而定的消费） Preferences under uncertainty Attitudes toward risk State-contingent budget constraint Choice under uncertainty 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) a portfolio of contingent consumption goods. 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 contract implemented only when a particular state of Nature occurs is state-contingent. E.g. the insurer pays only if there is an accident. 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. 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, cna, ?a, ?na). Preferences Under Uncertainty Preferences Toward Risk Risk averse Risk neutral Risk loving Preferences Toward Risk Think of a lottery. Win $90 with probability 1/2 and win $0 with probability 1/2. U($90) = 12, U($0) = 2. Expected utility is Preferences Toward Risk Think of a lottery. Win $90 with probability 1/2 and win $0 with probability 1/2. Expected money value of the lottery is Preferences Under Uncertainty EU = 7 and EM = $45. U($45) 7 ? $45 for sure is preferred to the lottery ? risk-aversion (规避风险）. U($45) 7 ? the lottery is preferred to $45 for sure ? risk-loving （喜爱风险）. U($45) = 7 ? the lottery is preferred equally to $45 for sure ? risk-neutrality （风险中性）. Risk Averse Risk Averse Risk-Loving Risk Loving Ri