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MIP/MB-IPB/88 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 2a: Risk and Risk Aversion
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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 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 ( )2 +.4(80=122)2 = 1,176,000 Risk - Uncertain Outcomes](http://images.slideplayer.com/12/3741405/slides/slide_2.jpg "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 ( )2 +.4(80=122)2 = 1,176,000 Risk - Uncertain Outcomes")
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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
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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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Untuk melihat file lengkapnya silahkan menghubungi kami di www.mb.ipb.ac.id www.mb.ipb.ac.id Untuk melihat file lengkapnya silahkan menghubungi kami di www.mb.ipb.ac.id www.mb.ipb.ac.id
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