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第14讲-量化不确定性和风险Lecture 14 - Quantifying Uncertainty and Risk |
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| 课程网址: | http://videolectures.net/yalemecon251f09_geanakoplos_lec14/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-03-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Until now, the models we've used in this course have focused on the case where everyone can perfectly forecast future economic conditions. Clearly, to understand financial markets, we have to incorporate uncertainty into these models. The first half of this lecture continues reviewing the key statistical concepts that we'll need to be able to think seriously about uncertainty, including expectation, variance, and covariance. We apply these concepts to show how diversification can reduce risk exposure. Next we show how expectations can be iterated through time to rapidly compute conditional expectations: if you think the Yankees have a 60% chance of winning any game against the Dodgers, what are the odds the Yankees will win a seven game series once they are up 2 games to 1? Finally we allow the interest rate, the most important variable in the economy according to Irving Fisher, to be uncertain. We ask whether interest rate uncertainty tends to make a dollar in the distant future more valuable or less valuable. |
| 关 键 词: | 预测未来经济状况; 不确定性的关键统计概念; 金融市场 |
| 课程来源: | 视频讲座网 |
| 数据采集: | 2021-11-02：zkj |
| 最后编审: | 2021-11-02：zkj |
| 阅读次数: | 50 |