平狄克 微观经济学 第五章 Choice Under Uncertainty课件.ppt

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1、Chapter5ChoiceUnderUncertainty1Chapter1TopicstobeDiscussedDescribingRiskPreferencesTowardRiskReducingRiskTheDemandforRiskyAssetsIntroductionChoicewithcertaintyisreasonablystraightforward.Howdowechoosewhencertainvariablessuchasincomeandpricesareuncertain(i.e.makingchoiceswithrisk)?Describi

2、ngRiskTomeasureriskwemustknow:1)Allofthepossibleoutcomes.2)Thelikelihoodthateachoutcomewilloccur(itsprobability).DescribingRiskInterpretingProbabilityThelikelihoodthatagivenoutcomewilloccurDescribingRiskInterpretingProbabilityObjectiveInterpretationBasedontheobservedfrequencyofpasteventsD

3、escribingRiskInterpretingProbabilitySubjectiveBasedonperceptionorexperiencewithorwithoutanobservedfrequencyDifferentinformationordifferentabilitiestoprocessthesameinformationcaninfluencethesubjectiveprobabilityDescribingRiskExpectedValueTheweightedaverageofthepayoffsorvaluesresultingfroma

4、llpossibleoutcomes.TheprobabilitiesofeachoutcomeareusedasweightsExpectedvaluemeasuresthecentraltendency;thepayofforvalueexpectedonaverageDescribingRiskAnExampleInvestmentinoffshoredrillingexploration:TwooutcomesarepossibleSuccess--thestockpriceincreasefrom$30to$40/shareFailure--thestockpr

5、icefallsfrom$30to$20/shareDescribingRiskAnExampleObjectiveProbability100explorations,25successesand75failuresProbability(Pr)ofsuccess=1/4andtheprobabilityoffailure=3/4DescribingRiskAnExample:ExpectedValue(EV)DescribingRiskGiven:TwopossibleoutcomeshavingpayoffsX1andX2Probabilitiesofeachout

6、comeisgivenbyPr1&Pr2DescribingRiskGenerally,expectedvalueiswrittenas:DescribingRiskVariabilityTheextenttowhichpossibleoutcomesofanuncertainevenmaydifferDescribingRiskAScenarioSupposeyouarechoosingbetweentwopart-timesalesjobsthathavethesameexpectedincome($1,500)Thefirstjobisbasedentirelyon

7、commission.Thesecondisasalariedposition.VariabilityDescribingRiskAScenarioTherearetwoequallylikelyoutcomesinthefirstjob--$2,000foragoodsalesjoband$1,000foramodestlysuccessfulone.Thesecondpays$1,510mostofthetime(.99probability),butyouwillearn$510ifthecompanygoesoutof