# MIP/MB-IPB/88 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 2a: Risk and Risk Aversion.

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MIP/MB-IPB/88 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 2a: Risk and Risk Aversion

MIP/MB-IPB/88 2 W = 100 W 1 = 150 Profit = 50 W 2 = 80 Profit = -20 p =.6 1-p =.4 E(W) = pW 1 + (1-p)W 2 = 6 (150) +.4(80) = 122  2 = p[W 1 - E(W)] 2 + (1-p) [W 2 - E(W)] 2 =.6 (150-122)2 +.4(80=122)2 = 1,176,000   Risk - Uncertain Outcomes

MIP/MB-IPB/88 3 W 1 = 150 Profit = 50 W 2 = 80 Profit = -20 p =.6 1-p =.4 100 Risky Inv. Risk Free T-billsProfit = 5 Risk Premium = 17 Risky Investments with Risk-Free Investment

MIP/MB-IPB/88 4 Investor’s view of risk –Risk Averse –Risk Neutral –Risk Seeking Utility Utility Function U = E ( r ) -.005 A  2 A measures the degree of risk aversion Risk Aversion & Utility

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