tailieunhanh - Tài liệu trung cấp môn Kinh tế vi mô bằng tiếng Anh - Phần 14

Tài liệu tham khảo Tài liệu trung cấp môn Kinh tế vi mô bằng tiếng Anh gồm 41 phần giúp sinh viên khoa kinh tế học tốt môn Kinh tế vi mô. Tài liệu này là phần 14 giới thiệu về " Rủi ro tài sản - Risky Assets " | CHAPTER I 3 RISKY ASSETS In the last chapter we examined a model of individual behavior under uncertainty and the role of two economic institutions for dealing with uncertainty insurance markets and stock markets. In this chapter we will further explore how stock markets serve to allocate risk. In order to do this it is convenient to consider a simplified model of behavior under uncertainty. Mean-Variance Utility In the last chapter we examined the expected utility model of choice under uncertainty. Another approach to choice under uncertainty is to describe the probability distributions that are the objects of choice by a few parameters and think of the utility function as being defined over those parameters. The most popular example of this approach is the mean-variance model. Instead of thinking that a consumer s preferences depend on the entire probability distribution of his wealth over every possible outcome we suppose that his preferences can be well described by considering just a few summary statistics about the probability distribution of his wealth. MEAN-VARIANCE UTILITY 235 Let us suppose that a random variable w takes on the values ws for s 1 . S with probability 7rs. The mean of a probability distribution is simply its average value s Mw 5 1 This is the formula for an average take each outcome ws weight it by the probability that it occurs and sum it up over all The variance of a probability distribution is the average value of w wj2 s 4 - J2. 5 1 The variance measures the spread of the distribution and is a reasonable measure of the riskiness involved. A closely related measure is the standard deviation denoted by ctw which is the square root of the variance W w The mean of a probability distribution measures its average value what the distribution is centered around. The variance of the distribution measures the spread of the distribution how spread out it is around the mean. See Figure for a graphical depiction of probability .