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33 min
1. Risk management: some lessons from the credit crisis- Mr. Edward Fishwick
- Archived Lectures *These may not cover the latest advances in the field
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22 min
2. The need for a new paradigm- Mr. Alan Brown
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41 min
3. Leading bank credit portfolio strategies- Mr. Brian Dvorak
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26 min
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18 min
5. Quantmare, August 2007- Mr. Eoin Murray
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36 min
6. Risk decomposition (and risk budgeting)- Mr. Jason MacQueen
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43 min
7. Structural and reduced form models- Dr. Theo Darsinos
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43 min
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40 min
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52 min
10. Estimating risk models- Prof. Kevin Dowd
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24 min
11. Hedge fund risk assessment- Mr. David Martin
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45 min
12. Modeling business dependencies for credit portfolios- Dr. Markus A. Leippold
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26 min
13. VaR when volatility is changing- Dr. Elizabeth Sheedy
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30 min
14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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40 min
15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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41 min
16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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42 min
17. Measures of financial risk- Prof. Kevin Dowd
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37 min
18. Modelling UK Mortgage Default in Light of the Financial Crisis- Mr. Warapong Wongwachara
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23 min
19. Statistical models for risk management- Prof. John Knight
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34 min
20. The structure of equity risk models- Mr. Jason MacQueen
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42 min
21. Utility theory and mean variance- Dr. Norvald Instefjord
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40 min
22. Definitions of risk- Dr. Norvald Instefjord
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29 min
23. Practical use of portfolio risk management today- Mr. Daryl Roxburgh
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44 min
24. Volatility- Dr. George A. Christodoulakis
Printable Handouts
Navigable Slide Index
- Introduction
- Utility theory and mean variance
- Part I
- Rationality of utility functions
- Completeness and reflexivity
- Transitivity and independence
- Continuity
- Dominance
- Example for rationality criteria
- Expected utility
- Violation of rationality criteria
- Example for violation
- Application of independence criterion
- State-dependent and -independent utility functions
- Summary of part I
- Part II
- Utility functions for money
- Risk aversion
- Risk neutrality and risk loving
- Risk premium and insurance premium
- Definitions
- Example for insurance premium
- Illustration of insurance premium
- Jensen's inequality and Arrow-Pratt's result
- Absolute risk aversion coefficient
- Example for absolute coefficient
- Full Arrow-Pratt's result (1)
- Full Arrow-Pratt's result (2)
- Relative risk aversion coefficient
- Usefullness of two types of coefficients
- Risk tolerance
- Broad vs. narrow classification of risk attitudes
- CARA function
- Decreasing absolute risk aversion
- CRRA function
- Global risk aversion
- Example for global risk aversion
- Example of CARA utility and normal distribution
- Summary of part II
- Part III
- Optimal asset allocation
- Two-fund separation
- Variance aversion
- Example with A(x)=2
- Mean-variance framework
- Asset allocation and portfolio separation
- Local risk neutrality
- Restrictions on preferences
- CARA and CRRA utilities
- Changing relative risk aversion
- Distributional assumptions on asset returns
- Two-fund separation
- Summary of part III
- Conclusions
Topics Covered
- Expected utility representation of preferences
- Rationality criteria
- State independent utility
- Risk averse behavior
- Risk and insurance premium
- Arrow-Pratt's absolute risk aversion coefficient
- Risk aversion and small risk
- Relative risk aversion coefficient
- Risk tolerance
- CARA utility
- CRRA utility
- Risk aversion and large risk
- Utility and variance measures of risk
- Variance aversion and two fund separation
- Local risk neutrality
- Marginal utility and two fund separation
- Factor structure and two fund separation
Talk Citation
Instefjord, N. (2007, October 1). Utility theory and mean variance [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 4, 2025, from https://doi.org/10.69645/MUSM6258.Export Citation (RIS)
