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CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets Investments, 8th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw­Hill/Irwin Copyright © 2009 by The McGraw­Hill Companies, Inc. All rights reserved. Risk and Risk Aversion • Speculation – Considerable risk • Sufficient to affect the decision – Commensurate gain • Gamble – Bet or wager on an uncertain outcome 6-2 Risk Aversion and Utility Values • Risk averse investors reject investment portfolios that are fair games or worse • These investors are willing to consider only risk-free or speculative prospects with positive risk premiums • Intuitively one would rank those portfolios as more attractive with higher expected returns 6-3 Table 6.1 Available Risky Portfolios (Risk-free Rate = 5%) 6-4 Utility Function U = E(r) Where 1 2 As2 U = utility E ( r ) = expected return on the asset or portfolio A = coefficient of risk aversion = variance of returns 6-5 ... - tailieumienphi.vn
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