微观经济学及财务知识分析范文

,Chapter5,ChoiceUnderUncertainty,Chapter5,Slide2,TopicstobeDiscussed,DescribingRiskPreferencesTowardRiskReducingRiskTheDemandforRiskyAssets,Chapter5,Slide3,Introduction,Choicewithcertaintyisreasonablystraightforward.Howdowechoosewhencertainvariablessuchasincomeandpricesareuncertain(i.e.makingchoiceswithrisk)?,Chapter5,Slide4,DescribingRisk,Tomeasureriskwemustknow:1)Allofthepossibleoutcomes.2)Thelikelihoodthateachoutcomewilloccur(itsprobability).,Chapter5,Slide5,DescribingRisk,InterpretingProbabilityThelikelihoodthatagivenoutcomewilloccur,Chapter5,Slide6,DescribingRisk,InterpretingProbabilityObjectiveInterpretationBasedontheobservedfrequencyofpastevents,Chapter5,Slide7,DescribingRisk,InterpretingProbabilitySubjectiveBasedonperceptionorexperiencewithorwithoutanobservedfrequencyDifferentinformationordifferentabilitiestoprocessthesameinformationcaninfluencethesubjectiveprobability,Chapter5,Slide8,DescribingRisk,ExpectedValueTheweightedaverageofthepayoffsorvaluesresultingfromallpossibleoutcomes.TheprobabilitiesofeachoutcomeareusedasweightsExpectedvaluemeasuresthecentraltendency;thepayofforvalueexpectedonaverage,Chapter5,Slide9,DescribingRisk,AnExampleInvestmentinoffshoredrillingexploration:TwooutcomesarepossibleSuccess-thestockpriceincreasefrom$30to$40/shareFailure-thestockpricefallsfrom$30to$20/share,Chapter5,Slide10,DescribingRisk,AnExampleObjectiveProbability100explorations,25successesand75failuresProbability(Pr)ofsuccess=1/4andtheprobabilityoffailure=3/4,Chapter5,Slide11,DescribingRisk,AnExample:,ExpectedValue(EV),Chapter5,Slide12,DescribingRisk,Given:TwopossibleoutcomeshavingpayoffsX1andX2ProbabilitiesofeachoutcomeisgivenbyPr1&Pr2,Chapter5,Slide13,DescribingRisk,Generally,expectedvalueiswrittenas:,Chapter5,Slide14,DescribingRisk,VariabilityTheextenttowhichpossibleoutcomesofanuncertainevenmaydiffer,Chapter5,Slide15,DescribingRisk,AScenarioSupposeyouarechoosingbetweentwopart-timesalesjobsthathavethesameexpectedincome($1,500)Thefirstjobisbasedentirelyoncommission.Thesecondisasalariedposition.,Variability,Chapter5,Slide16,DescribingRisk,AScenarioTherearetwoequallylikelyoutcomesinthefirstjob-$2,000foragoodsalesjoband$1,000foramodestlysuccessfulone.Thesecondpays$1,510mostofthetime(.99probability),butyouwillearn$510ifthecompanygoesoutofbusiness(.01probability).,Variability,Chapter5,Slide17,IncomefromSalesJobs,Job1:Commission.52000.510001500Job2:Fixedsalary.991510.015101500,ExpectedProbabilityIncome($)ProbabilityIncome($)Income,Outcome1Outcome2,DescribingRisk,Chapter5,Slide18,Job1ExpectedIncome,Job2ExpectedIncome,IncomefromSalesJobs,DescribingRisk,Chapter5,Slide19,Whiletheexpectedvaluesarethesame,thevariabilityisnot.Greatervariabilityfromexpectedvaluessignalsgreaterrisk.DeviationDifferencebetweenexpectedpayoffandactualpayoff,DescribingRisk,Chapter5,Slide20,DeviationsfromExpectedIncome($),Job1$2,000$500$1,000-$500Job21,51010510-900,Outcome1DeviationOutcome2Deviation,DescribingRisk,Chapter5,Slide21,AdjustingfornegativenumbersThestandarddeviationmeasuresthesquarerootoftheaverageofthesquaresofthedeviationsofthepayoffsassociatedwitheachoutcomefromtheirexpectedvalue.,Variability,DescribingRisk,Chapter5,Slide22,DescribingRisk,Thestandarddeviationiswritten:,Variability,Chapter5,Slide23,CalculatingVariance($),Job1$2,000$250,000$1,000$250,000$250,000$500.00Job21,510100510980,1009,90099.50,DeviationDeviationDeviationStandardOutcome1SquaredOutcome2SquaredSquaredDeviation,DescribingRisk,Chapter5,Slide24,DescribingRisk,Thestandarddeviationsofthetwojobsare:,*GreaterRisk,Chapter5,Slide25,DescribingRisk,Thestandarddeviationcanbeusedwhentherearemanyoutcomesinsteadofonlytwo.,Chapter5,Slide26,DescribingRisk,Job1isajobinwhichtheincomerangesfrom$1000to$2000inincrementsof$100thatareallequallylikely.,Example,Chapter5,Slide27,DescribingRisk,Job2isajobinwhichtheincomerangesfrom$1300to$1700inincrementsof$100that,also,areallequallylikely.,Example,Chapter5,Slide28,OutcomeProbabilitiesforTwoJobs,Income,0.1,$1000,$1500,$2000,0.2,Probability,Chapter5,Slide29,DescribingRisk,OutcomeProbabilitiesofTwoJobs(unequalprobabilityofoutcomes)Job1:greaterspread&standarddeviationPeakeddistribution:extremepayoffsarelesslikely,Chapter5,Slide30,DescribingRisk,DecisionMakingAriskavoiderwouldchooseJob2:sameexpectedincomeasJob1withlessrisk.Supposeweadd$100toeachpayoffinJob1whichmakestheexpectedpayoff=$1600.,Chapter5,Slide31,UnequalProbabilityOutcomes,Income,0.1,$1000,$1500,$2000,0.2,Probability,Chapter5,Slide32,IncomefromSalesJobs-Modified($),Recall:Thestandarddeviationisthesquarerootofthedeviationsquared.,Job1$2,100$250,000$1,100$250,000$1,600$500Job21510100510980,1001,50099.50,DeviationDeviationExpectedStandardOutcome1SquaredOutcome2SquaredIncomeDeviation,Chapter5,Slide33,DescribingRisk,Job1:expectedincome$1,600andastandarddeviationof$500.Job2:expectedincomeof$1,500andastandarddeviationof$99.50Whichjob?Greatervalueorlessrisk?,DecisionMaking,Chapter5,Slide34,Supposeacitywantstodeterpeoplefromdoubleparking.Thealternatives.,DescribingRisk,Example,Chapter5,Slide35,Assumptions:1)Double-parkingsavesaperson$5intermsoftimespentsearchingforaparkingspace.2)Thedriverisriskneutral.3)Costofapprehensioniszero.,Example,DescribingRisk,Chapter5,Slide36,Afineof$5.01woulddeterthedriverfromdoubleparking.Benefitofdoubleparking($5)islessthanthecost($5.01)equalsanetbenefitthatislessthan0.,Example,DescribingRisk,Chapter5,Slide37,Increasingthefinecanreduceenforcementcost:A$50finewitha.1probabilityofbeingcaughtresultsinanexpectedpenaltyof$5.A$500finewitha.01probabilityofbeingcaughtresultsinanexpectedpenaltyof$5.,Example,DescribingRisk,Chapter5,Slide38,Themoreriskaversedriversare,thelowerthefineneedstobeinordertobeeffective.,Example,DescribingRisk,Chapter5,Slide39,PreferencesTowardRisk,ChoosingAmongRiskyAlternativesAssumeConsumptionofasinglecommodityTheconsumerknowsallprobabilitiesPayoffsmeasuredintermsofutilityUtilityfunctiongiven,Chapter5,Slide40,PreferencesTowardRisk,Apersonisearning$15,000andreceiving13unitsofutilityfromthejob.Sheisconsideringanew,butriskyjob.,Example,Chapter5,Slide41,PreferencesTowardRisk,Shehasa.50chanceofincreasingherincometo$30,000anda.50chanceofdecreasingherincometo$10,000.Shewillevaluatethepositionbycalculatingtheexpectedvalue(utility)oftheresultingincome.,Example,Chapter5,Slide42,PreferencesTowardRisk,Theexpectedutilityofthenewpositionisthesumoftheutilitiesassociatedwithallherpossibleincomesweightedbytheprobabilitythateachincomewilloccur.,Example,Chapter5,Slide43,PreferencesTowardRisk,Theexpectedutilitycanbewritten:E(u)=(1/2)u($10,000)+(1/2)u($30,000)=0.5(10)+0.5(18)=14E(u)ofnewjobis14whichisgreaterthanthecurrentutilityof13andthereforepreferred.,Example,Chapter5,Slide44,PreferencesTowardRisk,DifferentPreferencesTowardRiskPeoplecanberiskaverse,riskneutral,orriskloving.,Chapter5,Slide45,PreferencesTowardRisk,DifferentPreferencesTowardRiskRiskAverse:Apersonwhoprefersacertaingivenincometoariskyincomewiththesameexpectedvalue.ApersonisconsideredriskaverseiftheyhaveadiminishingmarginalutilityofincomeTheuseofinsurancedemonstratesriskaversivebehavior.,Chapter5,Slide46,PreferencesTowardRisk,AScenarioApersoncanhavea$20,000jobwith100%probabilityandreceiveautilitylevelof16.Thepersoncouldhaveajobwitha.5chanceofearning$30,000anda.5chanceofearning$10,000.,RiskAverse,Chapter5,Slide47,PreferencesTowardRisk,ExpectedIncome=(0.5)($30,000)+(0.5)($10,000)=$20,000,RiskAverse,Chapter5,Slide48,PreferencesTowardRisk,Expectedincomefrombothjobsisthesame-riskaversemaychoosecurrentjob,RiskAverse,Chapter5,Slide49,PreferencesTowardRisk,Theexpectedutilityfromthenewjobisfound:E(u)=(1/2)u($10,000)+(1/2)u($30,000)E(u)=(0.5)(10)+(0.5)(18)=14E(u)ofJob1is16whichisgreaterthantheE(u)ofJob2whichis14.,RiskAverse,Chapter5,Slide50,PreferencesTowardRisk,Thisindividualwouldkeeptheirpresentjobsinceitprovidesthemwithmoreutilitythantheriskyjob.Theyaresaidtoberiskaverse.,RiskAverse,Chapter5,Slide51,Income($1,000),Utility,RiskAverse,PreferencesTowardRisk,Chapter5,Slide52,PreferencesTowardRisk,Apersonissaidtoberiskneutraliftheyshownopreferencebetweenacertainincome,andanuncertainonewiththesameexpectedvalue.,RiskNeutral,Chapter5,Slide53,Income($1,000),10,20,Utility,0,30,PreferencesTowardRisk,RiskNeutral,Chapter5,Slide54,PreferencesTowardRisk,Apersonissaidtoberisklovingiftheyshowapreferencetowardanuncertainincomeoveracertainincomewiththesameexpectedvalue.Examples:Gambling,somecriminalactivity,RiskLoving,Chapter5,Slide55,Income($1,000),Utility,0,PreferencesTowardRisk,RiskLoving,Chapter5,Slide56,PreferencesTowardRisk,Theriskpremiumistheamountofmoneythatarisk-aversepersonwouldpaytoavoidtakingarisk.,RiskPremium,Chapter5,Slide57,PreferencesTowardRisk,AScenarioThepersonhasa.5probabilityofearning$30,000anda.5probabilityofearning$10,000(expectedincome=$20,000).Theexpectedutilityofthesetwooutcomescanbefound:E(u)=.5(18)+.5(10)=14,RiskPremium,Chapter5,Slide58,PreferencesTowardRisk,QuestionHowmuchwouldthepersonpaytoavoidrisk?,RiskPremium,Chapter5,Slide59,Income($1,000),Utility,0,PreferencesTowardRisk,RiskPremium,Chapter5,Slide60,PreferencesTowardRisk,Variabilityinpotentialpayoffsincreasetheriskpremium.Example:Ajobhasa.5probabilityofpaying$40,000(utilityof20)anda.5chanceofpaying0(utilityof0).,RiskAversionandIncome,Chapter5,Slide61,PreferencesTowardRisk,Example:Theexpectedincomeisstill$20,000,buttheexpectedutilityfallsto10.Expectedutility=.5u($)+.5u($40,000)=0+.5(20)=10,RiskAversionandIncome,Chapter5,Slide62,PreferencesTowardRisk,Example:Thecertainincomeof$20,000hasautilityof16.Ifthepersonisrequiredtotakethenewposition,theirutilitywillfallby6.,RiskAversionandIncome,Chapter5,Slide63,PreferencesTowardRisk,Example:Theriskpremiumis$10,000(i.e.theywouldbewillingtogiveup$10,000ofthe$20,000andhavethesameE(u)astheriskyjob.,RiskAversionandIncome,Chapter5,Slide64,PreferencesTowardRisk,Therefore,itcanbesaidthatthegreaterthevariability,thegreatertheriskpremium.,RiskAversionandIncome,Chapter5,Slide65,PreferencesTowardRisk,Combinationsofexpectedincome&standarddeviationofincomethatyieldthesameutility,IndifferenceCurve,Chapter5,Slide66,RiskAversionandIndifferenceCurves,StandardDeviationofIncome,ExpectedIncome,Chapter5,Slide67,RiskAversionandIndifferenceCurves,StandardDeviationofIncome,ExpectedIncome,Chapter5,Slide68,BusinessExecutivesandtheChoiceofRisk,Studyof464executivesfoundthat:20%wereriskneutral40%wererisktakers20%wereriskadverse20%didnotrespond,Example,Chapter5,Slide69,Thosewholikedriskysituationsdidsowhenlosseswereinvolved.Whenrisksinvolvedgainsthesame,executivesoptedforlessriskysituations.,Example,BusinessExecutivesandtheChoiceofRisk,Chapter5,Slide70,Theexecutivesmadesubstantialeffortstoreduceoreliminateriskbydelayingdecisionsandcollectingmoreinformation.,Example,BusinessExecutivesandtheChoiceofRisk,Chapter5,Slide71,ReducingRisk,Threewaysconsumersattempttoreduceriskare:1)Diversification2)Insurance3)Obtainingmoreinformation,Chapter5,Slide72,ReducingRisk,DiversificationSupposeafirmhasachoiceofsellingairconditioners,heaters,orboth.Theprobabilityofitbeinghotorcoldis0.5.Thefirmwouldprobablybebetteroffbydiversification.,Chapter5,Slide73,IncomefromSalesofAppliances,Airconditionersales$30,000$12,000Heatersales12,00030,000*0.5probabilityofhotorcoldweather,HotWeatherColdWeather,Chapter5,Slide74,ReducingRisk,Ifthefirmssellsonlyheatersorairconditionerstheirincomewillbeeither$12,000or$30,000.Theirexpectedincomewouldbe:1/2($12,000)+1/2($30,000)=$21,000,Diversification,Chapter5,Slide75,ReducingRisk,Ifthefirmdividestheirtimeevenlybetweenappliancestheirairconditioningandheatingsaleswouldbehalftheiroriginalvalues.,Diversification,Chapter5,Slide76,ReducingRisk,Ifitwerehot,theirexpectedincomewouldbe$15,000fromairconditionersand$6,000fromheaters,or$21,000.Ifitwerecold,theirexpectedincomewouldbe$6,000fromairconditionersand$15,000fromheaters,or$21,000.,Diversification,Chapter5,Slide77,ReducingRisk,Withdiversification,expectedincomeis$21,000withnorisk.,Diversification,Chapter5,Slide78,ReducingRisk,Firmscanreduceriskbydiversifyingamongavarietyofactivitiesthatarenotcloselyrelated.,Diversification,Chapter5,Slide79,ReducingRisk,DiscussionQuestionsHowcandiversificationreducetheriskofinvestinginthestockmarket?Candiversificationeliminatetheriskofinvestinginthestockmarket?,TheStockMarket,Chapter5,Slide80,ReducingRisk,Riskaversearewillingtopaytoavoidrisk.Ifthecostofinsuranceequalstheexpectedloss,riskaversepeoplewillbuyenoughinsurancetorecoverfullyfromapotentialfinancialloss.,Insurance,Chapter5,Slide81,TheDecisiontoInsure,No$40,000$50,000$49,000$9,055Yes49,00049,00049,0000,InsuranceBurglaryNoBurglaryExpectedStandard(Pr=.1)(Pr=.9)WealthDeviation,Chapter5,Slide82,ReducingRisk,Whiletheexpectedwealthisthesame,theexpectedutilitywithinsuranceisgreaterbecausethemarginalutilityintheeventofthelossisgreaterthanifnolossoccurs.Purchasesofinsurancetransferswealthandincreasesexpectedutility.,Insurance,Chapter5,Slide83,ReducingRisk,Althoughsingleeventsarerandomandlargelyunpredictable,theaverageoutcomeofmanysimilareventscanbepredicted.,TheLawofLargeNumbers,Chapter5,Slide84,ReducingRisk,ExamplesAsinglecointossvs.largenumberofcoinsWhomwillhaveacarwreckvs.thenumberofwrecksforalargegroupofdrivers,TheLawofLargeNumbers,Chapter5,Slide85,ReducingRisk,Assume:10%chanceofa$10,000lossfromahomeburglaryExpectedloss=.10 x$10,000=$1,000withahighrisk(10%chanceofa$10,000loss)100peoplefacethesamerisk,ActuarialFairness,Chapter5,Slide86,ReducingRisk,Then:$1,000premiumgeneratesa$100,000fundtocoverlossesActualFairnessWhentheinsurancepremium=expectedpayout,ActuarialFairness,Chapter5,Slide87,TheValueofTitleInsuranceWhenBuyingaHouse,AScenario:Priceofahouseis$200,0005%chancethatthesellerdoesnotownthehouse,Example,Chapter5,Slide88,TheValueofTitleInsuranceWhenBuyingaHouse,Riskneutralbuyerwouldpay:,Example,Chapter5,Slide89,TheValueofTitleInsuranceWhenBuyingaHouse,RiskaversebuyerwouldpaymuchlessByreducingrisk,titleinsuranceincreasesthevalueofthehousebyanamountfargreaterthanthepremium.,Example,Chapter5,Slide90,ReducingRisk,ValueofCompleteInformationThedifferencebetweentheexpectedvalueofachoicewithcompleteinformationandtheexpectedvaluewheninformationisincomplete.,TheValueofInformation,Chapter5,Slide91,ReducingRisk,Supposeastoremanagermustdeterminehowmanyfallsuitstoorder:100suitscost$180/suit50suitscost$200/suitThepriceofthesuitsis$300,TheValueofInformation,Chapter5,Slide92,ReducingRisk,Supposeastoremanagermustdeterminehowmanyfallsuitstoorder:Unsoldsuitscanbereturnedforhalfcost.Theprobabilityofsellingeachquantityis.50.,TheValueofInformation,Chapter5,Slide93,TheDecisiontoInsure,1.Buy50suits$5,000$5,000$5,0002.Buy100suits1,50012,0006,750,ExpectedSaleof50Saleof100Profit,Chapter5,Slide94,ReducingRisk,Withincompleteinformation:RiskNeutral:Buy100suitsRiskAverse:Buy50suits,Chapter5,Slide95,ReducingRisk,Theexpectedvaluewithcompleteinformationis$8,500.8,500=.5(5,000)+.5(12,000)Theexpectedvaluewithuncertainty(buy100suits)is$6,750.,TheValueofInformation,Chapter5,Slide96,ReducingRisk,Thevalueofcompleteinformationis$1,750,orthedifferencebetweenthetwo(theamountthestoreownerwouldbewillingtopayforamarketingstudy).,TheValueofInformation,Chapter5,Slide97,PercapitamilkconsumptionhasfallenovertheyearsThemilkproducersengagedinmarketresearchtodevelopnewsalesstrategiestoencouragetheconsumptionofmilk.,ReducingRisk,TheValueofInformation:Example,Chapter5,Slide98,FindingsMilkdemandisseasonalwiththegreatestdemandinthespringEpisnegativeandsmallEIispositiveandlarge,ReducingRisk,TheValueofInformation:Example,Chapter5,Slide99,Milkadvertisingincreasessalesmostinthespring.AllocatingadvertisingbasedonthisinformationinNewYorkincreasedsalesby$4,046,557andprofitsby9%.Thecostoftheinformationwasrelativelylow,whilethevaluewassubstantial.,ReducingRisk,TheValueofInformation:Example,Chapter5,Slide100,AssetsSomethingthatprovidesaflowofmoneyorservicestoitsowner.Theflowofmoneyorservicescanbeexplicit(dividends)orimplicit(capitalgain).,TheDemandforRiskyAssets,Chapter5,Slide101,CapitalGainAnincreaseinthevalueofanasset,whileadecreaseisacapitalloss.,TheDemandforRiskyAssets,Chapter5,Slide102,TheDemandforRiskyAssets,RiskyAssetProvidesanuncertainflowofmoneyorservicestoitsowner.Examplesapartmentrent,capitalgains,corporatebonds,stockprices,Risky&RisklessAssets,Chapter5,Slide103,TheDemandforRiskyAssets,RisklessAssetProvidesaflowofmoneyorservicesthatisknownwithcertainty.Examplesshort-termgovernmentbonds,short-termcertificatesofdeposit,Risky&RisklessAssets,Chapter5,Slide104,TheDemandforRiskyAssets,AssetReturnsReturnonanAssetThetotalmonetaryflowofanassetasafractionofitsprice.RealReturnofanAssetThesimple(ornominal)returnlesstherateofinflation.,Chapter5,Slide105,TheDemandforRiskyAssets,AssetReturns,Chapter5,Slide106,TheDemandforRiskyAssets,ExpectedReturnReturnthatanassetshouldearnonaverage,Expectedvs.ActualReturns,Chapter5,Slide107,TheDemandforRiskyAssets,ActualReturnReturnthatanassetearns,Expectedvs.ActualReturns,Chapter5,Slide108,Investments-RiskandReturn(1926-1999),Commonstocks(S&P500)9.520.2Long-termcorporatebonds2.78.3U.S.Treasurybills0.63.2,RiskRealRateof(standardReturn(%)deviation,%),Chapter5,Slide109,TheDemandforRiskyAssets,Higherreturnsareassociatedwithgreaterrisk.Therisk-averseinvestormustbalanceriskrelativetoreturn,Expectedvs.ActualReturns,Chapter5,Slide110,TheDemandforRiskyAssets,AninvestorischoosingbetweenT-Billsandstocks:T-bills(riskless)versusStocks(risky)Rf=thereturnonriskfreeT-billsExpectedreturnequalsactualreturnwhenthereisnorisk,TheTrade-OffBetweenRiskandReturn,Chapter5,Slide111,TheDemandforRiskyAssets,AninvestorischoosingbetweenT-Billsandstocks:Rm=theexpectedreturnonstocksrm=theactualreturnsonstock,TheTrade-OffBetweenRiskandReturn,Chapter5,Slide112,TheDemandforRiskyAssets,Atthetimeoftheinvestmentdecision,weknowthesetofpossibleoutcomesandthelikelihoodofeach,butwedonotknowwhatparticularoutcomewilloccur.,TheTrade-O