讲义参考投资学lec

1、Risk aversion and capital allocation to the risky assetsTaskRisk aversionComplete portfolioUtility functionM-V criterionCALLeverageAsset allocationIntroductionIntroductionConstructing an investor portfolioselecting the composition of ones portfolio of risky assetsDeciding how much to invest in that

2、risky portfolio versus in a safe assetTrade-offs between portfolio risk and expected returnRisk and Risk AversionRiskSpeculation(投机）Gambling（赌博）Difference: risk premiumFair game（公平博弈）heterogeneous expectations（异质期望）The Risk-Free AssetIndexed bonds（指数化债券）Spread between 3-month CD and T-bill ratesRisk

3、 AversionUtility functionRisk-neutral investors (with A=0Risk lover ( A 0)certainty equivalent rate（确定等价收益率）A dominates BThe indifference curveCapital Allocation across Risky and Risk-Free PortfoliosRisk asset PRisk-free asset FCalculationComplete portfolioPortfolios of One Risky Asset and a Risk-Fr

4、ee AssetRisk-free asset, FRisky portfolio, PRisky rate of return of P: Expected rate of return:standard deviation: The proportion of risky portfolio P: the rate of return on the complete portfolio C:standard deviation of the complete portfolio:The expected rate of return of the complete portfolio:Th

5、e expected returnstandard deviation:slope：CALCapitalallocation line (CAL)（资本配置线）reward-to-volatility ratio（报酬波动性比率）LeverageRisk Tolerance and Asset AllocationUtility maximizationoptimal yAllocation to Risky Asset, ycapital market line (CML).the capital allocation line provided by 1-month T-bills and a