微观经济学及财务知识分析范文(136页PPT).pptx

Chapter 5Choice Under Choice Under UncertaintyUncertainty1Chapter 1Topics to be DiscussednDescribing RisknPreferences Toward RisknReducing RisknThe Demand for Risky Assets2Chapter 1IntroductionnChoice with certainty is reasonably straightforward.nHow do we choose when certain variables such as income and prices are uncertain (i.e. making choices with risk)?3Chapter 1Describing RisknTo measure risk we must know:1) All of the possible outcomes.2) The likelihood that each outcome will occur (its probability).4Chapter 1Describing RisknInterpreting ProbabilitylThe likelihood that a given outcome will occur5Chapter 1Describing RisknInterpreting ProbabilitylObjective InterpretationuBased on the observed frequency of past events6Chapter 1Describing RisknInterpreting ProbabilitylSubjectiveuBased on perception or experience with or without an observed frequencylDifferent information or different abilities to process the same information can influence the subjective probability7Chapter 1Describing RisknExpected ValuelThe weighted average of the payoffs or values resulting from all possible outcomes.uThe probabilities of each outcome are used as weightsuExpected value measures the central tendency; the payoff or value expected on average8Chapter 1Describing RisknAn ExamplelInvestment in offshore drilling exploration:lTwo outcomes are possibleuSuccess - the stock price increase from $30 to $40/shareuFailure - the stock price falls from $30 to $20/share9Chapter 1Describing RisknAn ExamplelObjective Probabilityu100 explorations, 25 successes and 75 failuresuProbability (Pr) of success = 1/4 and the probability of failure = 3/410Chapter 1Describing RisknAn Example:Expected Value (EV)11Chapter 1Describing RisknGiven:lTwo possible outcomes having payoffs X1 and X2lProbabilities of each outcome is given by Pr1 & Pr212Chapter 1Describing RisknGenerally, expected value is written as:13Chapter 1Describing RisknVariabilitylThe extent to which possible outcomes of an uncertain even may differ14Chapter 1Describing RisknA ScenariolSuppose you are choosing between two part-time sales jobs that have the same expected income ($1,500)lThe first job is based entirely on commission.lThe second is a salaried position.Variability15Chapter 1Describing RisknA ScenariolThere are two equally likely outcomes in the first job-$2,000 for a good sales job and $1,000 for a modestly successful one.lThe second pays $1,510 most of the time (.99 probability), but you will earn $510 if the company goes out of business (.01 probability).Variability16Chapter 1Income from Sales JobsJob 1: Commission.52000.510001500Job 2: Fixed salary.991510.015101500ExpectedProbabilityIncome ($)ProbabilityIncome ($)IncomeOutcome 1Outcome 2Describing Risk17Chapter 1nJob 1 Expected IncomenJob 2 Expected IncomeIncome from Sales JobsDescribing Risk18Chapter 1nWhile the expected values are the same, the variability is not.nGreater variability from expected values signals greater risk.nDeviationlDifference between expected payoff and actual payoffDescribing Risk19Chapter 1Deviations from Expected Income ($)Job 1$2,000$500$1,000-$500Job 21,51010510-900 Outcome 1 Deviation Outcome 2 DeviationDescribing Risk20Chapter 1nAdjusting for negative numbersnThe standard deviation measures the square root of the average of the squares of the deviations of the payoffs associated with each outcome from their expected value.VariabilityDescribing Risk21Chapter 1Describing RisknThe standard deviation is written:Variability22Chapter 1Calculating Variance ($)Job 1$2,000$250,000$1,000 $250,000 $250,000 $500.00Job 21,510100510 980,100 9,900 99.50DeviationDeviation Deviation Standard Outcome 1 SquaredOutcome 2 Squared Squared DeviationDescribing Risk23Chapter 1Describing RisknThe standard deviations of the two jobs are:*Greater Risk24Chapter 1Describing RisknThe standard deviation can be used when there are many outcomes instead of only two.25Chapter 1Describing RisknJob 1 is a job in which the income ranges from $1000 to $2000 in increments of $100 that are all equally likely.Example26Chapter 1Describing RisknJob 2 is a job in which the income ranges from $1300 to $1700 in increments of $100 that, also, are all equally likely.Example27Chapter 1Outcome Probabilities for Two JobsIncome0.1$1000$1500$20000.2Job 1Job 2Job 1 has greater spread: greaterstandard deviationand greater riskthan Job 2.Probability28Chapter 1Describing RisknOutcome Probabilities of Two Jobs (unequal probability of outcomes)lJob 1: greater spread & standard deviationlPeaked distribution: extreme payoffs are less likely29Chapter 1Describing RisknDecision MakinglA risk avoider would choose Job 2: same expected income as Job 1 with less risk.lSuppose we add $100 to each payoff in Job 1 which makes the expected payoff = $1600.30Chapter 1Unequal Probability OutcomesJob 1Job 2The distribution of payoffsassociated with Job 1 has a greater spread and standarddeviation than those with Job 2.Income0.1$1000$1500$20000.2Probability31Chapter 1I。