投资学（朱英姿）ch6课件.pptVIP

Figure 6.7 Indifference Curves for U = .05 and U = .09 with A = 2 and A = 4 Figure 6.8 Finding the Optimal Complete Portfolio Using Indifference Curves Table 6.7 Expected Returns on Four Indifference Curves and the CAL Table 6.8 Average Annual Return on Stocks and 1-Month T-bills; S. Dev. and Reward to Variability of Stocks Over Time * * * * * * * * * * * * * * * * * * * * * * * 6- * Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage Coverimage CHAPTER 6 Investments Risk Aversion and Capital Allocation to Risky Assets Slides by Richard D. Johnson Copyright ? 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Cover image Table 6.1 Available Risky Portfolios (Risk-free Rate = 5%) Utility Function U = E ( r ) – 1/2 A s2 Where U = utility E ( r ) = expected return on the asset or portfolio A = coefficient of risk aversion s2 = variance of returns Table 6.2 Utility Scores of Alter. Portfolios for Investors with Varying Risk Aversion Figure 6.1 The Trade-off Between Risk and Returns of a Potential Investment Portfolio Figure 6.2 The Indifference Curve Table 6.3 Utility Values of Possible Portfolios for an Investor with Risk Aversion, A = 4 Table 6.4 Investor’s Willingness to Pay for Catastrophe Insurance Figure 6.3 Spread Between 3-Month CD and T-bill Rates Allocating Capital: Risky Risk Free Assets It’s possible to split investment funds between safe and risky assets. Risk free asset: proxy; T-bills Risky asset: stock (or a portfolio) rf = 7% ?rf = 0% E(rp) = 15% ?p = 22% y = % in p (1-y) = % in rf Example Using Chapter 6.4 Numbers E(rc) = yE(rp) + (1 - y)rf rc = complete or combined portfolio For example, y = .75 E(rc) = .75(.15) + .25(.07) = .13 or 13% Expected Returns for Combinations c = .75(.22) = .165 or 16.5% If y = .75, then c = 1(.22) = .22 or 22% If y = 1 c = (.22) = .00 or 0% If y = 0 ? ? ? Combina