完整word版行为金融学课后答案1至5章anawerword文档良心出品Word文档格式.docx
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完整word版行为金融学课后答案1至5章anawerword文档良心出品Word文档格式.docx
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c.Utilityfunctionandexpectedutility
Autilityfunction,denotedasu(),assignsnumberstopossibleoutcomessothatpreferredchoicesreceivehighernumbers.Utilitycanbethoughtofasthesatisfactionreceivedfromaparticularoutcome.
d.Riskaversion,riskseeking,andriskneutrality
Riskaversiondescribessomeonewhopreferstheexpectedvalueofalotterytothelotteryitself.Riskseekingdescribessomeonewhoprefersalotterytotheexpectedvalueofalottery.Andriskneutralitydescribessomeonewhoseutilityoftheexpectedvalueofalotteryisequaltotheexpectedutilityofthelottery.
2.Wheneatingout,Roryprefersspaghettioverahamburger.Lastnightshehadachoiceofspaghettiandmacaroniandcheeseanddecidedonthespaghettiagain.Thenightbefore,Roryhadachoicebetweenspaghetti,pizza,andahamburgerandthistimeshehadpizza.Then,todayshechosemacaroniandcheeseoverahamburger.DoesherselectiontodayindicatethatRory’schoicesareconsistentwitheconomicrationality?
Whyorwhynot?
Rory’spreferencesareconsistentwithrationality.Theyarecompleteandtransitive.Weseethatherpreferenceorderingis:
Pizza
spaghetti
macaroniandcheese
hamburger
3.Considerapersonwiththefollowingutilityfunctionoverwealth:
u(w)=ew,whereeistheexponentialfunction(approximatelyequalto2.7183)andw=wealthinhundredsofthousandsofdollars.Supposethatthispersonhasa40%chanceofwealthof$50,000anda60%chanceofwealthof$1,000,000assummarizedbyP(0.40,$50,000,$1,000,000).
a.Whatistheexpectedvalueofwealth?
E(w)=.4*.5+.6*10=6.2
U(P)=.4e0.50+.6e10=13,216.54
b.Constructagraphofthisutilityfunction.
Thefunctionisconvex.
c.Isthispersonriskaverse,riskneutral,orariskseeker?
Riskseekerbecausegraphisconvex.
d.Whatisthisperson’scertaintyequivalentfortheprospect?
ew=13,216.54givesw=9.4892244or$948,922.44
4.Anindividualhasthefollowingutilityfunction:
u(w)=w.5wherew=wealth.
a.Usingexpectedutility,orderthefollowingprospectsintermsofpreference,fromthemosttotheleastpreferred:
P1(.8,1,000,600)
P2(.7,1,200,600)
P3(.5,2,000,300)
Ranking:
P2,P3,P1withexpectedutilities31.5972,31.0209,and30.1972forprospects2,3,and1,respectively
b.WhatisthecertaintyequivalentforprospectP2?
998.3830
c.Withoutdoinganycalculations,wouldthecertaintyequivalentforprospectP1belargerorsmaller?
Why?
ThecertaintyequivalentforP1wouldbesmallerbecauseP2isrankedhigherthanP1.
5.Considertwoprospects:
Problem1:
Choosebetween
ProspectA:
$2,500withprobability.33,
$2,400withprobability.66,
Zerowithprobability.01.
AndProspectB:
$2,400withcertainty.
Problem2:
ProspectC:
Zerowithprobability.67.
AndProspectD:
$2,400withprobability.34,
Zerowithprobability.66.
IthasbeenshownbyDanielKahnemanandAmosTversky(1979,“Prospecttheory:
Ananalysisofdecisionunderrisk,”Econometrica47
(2),263-291)thatmorepeoplechooseBwhenpresentedwithproblem1andwhenpresentedwithproblem2,mostpeoplechooseC.Thesechoicesviolateexpectedutilitytheory.Why?
ThisisanexampleoftheAllaisparadox.Thefirstchoicesuggeststhat
u(2,400)>
.33u(2,500)+.66u(2,400)or.34u(2,400)>
.33u(2,500)
whilethesecondchoicesuggestsjusttheoppositeinequality.
第二章
a.Systematicandnonsystematicrisk
Nondiversifiableorsystematicriskisriskthatiscommontoallriskyassetsinthesystemandcannotbediversified.Diversifiableorunsystematicriskisspecifictotheassetinquestionandcanbediversified.
b.Betaandstandarddeviation
BetaistheCAPM’smeasureofrisk.Ittakesintoaccountanasset’ssensitivitytothemarketandonlymeasuressystematic,nondiversifiablerisk.Thestandarddeviationisameasureofdispersionthatincludesbothdiversifiableandnondiversifiablerisks.
c.Directandindirectagencycosts
Agencycostsarisewhenmanagers’incentivesarenotconsistentwithmaximizingthevalueofthefirm.Directcostsincludeexpendituresthatbenefitthemanagerbutnotthefirm,suchaspurchasingaluxuryjetfortravel.Otherdirectcostsresultfromtheneedtomonitormanagers,includingthecostof
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