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第22讲-风险规避和资本资产定价定理Lecture 22 - Risk Aversion and the Capital Asset Pricing Theorem |
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| 课程网址: | http://videolectures.net/yalemecon251f09_geanakoplos_lec22/ |
| 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 we have ignored risk aversion. The Bernoulli brothers were the first to suggest a tractable way of representing risk aversion. They pointed out that an explanation of the St. Petersburg paradox might be that people care about expected utility instead of expected income, where utility is some concave function, such as the logarithm. One of the most famous and important models in financial economics is the Capital Asset Pricing Model, which can be derived from the hypothesis that every agent has a (different) quadratic utility. Much of the modern mutual fund industry is based on the implications of this model. The model describes what happens to prices and asset holdings in general equilibrium when the underlying risks can't be hedged in the aggregate. It turns out that the tools we developed in the beginning of this course provide an answer to this question. |
| 关 键 词: | 风险规避; 资本资产定价模型; 潜在风险 |
| 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: | 40 |