山东高考德语试题及答案Word文档下载推荐.docx
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山东高考德语试题及答案Word文档下载推荐.docx
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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.
Chapter2:
DiscussionQuestionsandProblems
a.Systematicandnonsystematicrisk
Nondiversifiableorsystematicriskisriskthatiscommontoallriskyassetsinthesystemandcannotbediversified.Diversifiableorunsystematicriskisspecifictotheassetinquestionandcanbediversified.
b.Betaandstandarddeviation
BetaistheCAPM’smeasureofrisk.Ittakesintoaccountanasset’ssensitivitytothemarketandonlymeasuressystematic,nondiversifiablerisk.Thestandarddeviationisameasureofdispersionthatincludesbothdiversifiableandnondiversifiablerisks.
c.Directandindirectagencycosts
Agencycostsarisewhenmanagers’incentivesarenotconsistentwithmaximizingthevalueofthefirm.Directcostsincludeexpendituresthatbenefitthemanagerbutnotthefirm,suchaspurchasingaluxuryjetfortravel.Otherdirectcostsresultfromtheneedtomonitormanagers,includingthecostofhiringoutsideauditors.Indirectcostsaremoredifficulttomeasureandresultfromlostopportunities.
d.Weak,semi-strong,andstrongformmarketefficiency
Withweakformmarketefficiencypricesreflectalltheinformationcontainedinhistoricalreturns.Withsemi-strongformmarketefficiencypricesreflectallpubliclyavailableinformation.Withstrongformmarketefficiencypricesreflectinformationthatisnotpubliclyavailable,suchasinsiders’information.
2.Astockhasabetaof1.2andthestandarddeviationofitsreturnsis25%.Themarketriskpremiumis5%andtherisk-freerateis4%.
a.Whatistheexpectedreturnforthestock?
E(R)=.04+1.2(.05)=.10
b.Whataretheexpectedreturnandstandarddeviationforaportfoliothatisequallyinvestedinthestockandtherisk-freeasset?
E(Rp)=.5(.10)+.5(.04)=.07,σp=(.5)(.25)=.125
c.Afinancialanalystforecastsareturnof12%forthestock.Wouldyoubuyit?
Ifyoubelievethesourceisverycredible,buyitasitisexpectedtogenerateapositiveabnormal(orexcess)return.
3.Whatisthejointhypothesisproblem?
Whyisitimportant?
Ifwhentestingonehypothesisanothermustbeassumedtohold,ajoint-hypothesisproblemarises.Forus,thisisofparticularinterestwhenwearetestingmarketefficiencybecauseoftheneedtoutilizeaparticularrisk-adjustmentmodeltoproducerequiredreturns,thatis,torisk-adjust.Thiswouldnotbeaproblemifweknewwithcertaintywhatthecorrectriskadjustmentmodelis,butunfortunatelywedonot.IfatestrejectstheEMH,isitbecausetheEMHdoesnothold,orbecausewedidnotproperlymeasureabnormalreturns?
Wesimplydonotknowforcertaintheanswertothisquestion.
4.WarrenBuffetthasbeenaverysuccessfulinvestor.In2008LuisaKrollreportedthatBuffetttoppedForbesMagazine’slistoftheworld’srichestpeoplewithafortuneestimatedtobeworth$62billion(March5,2008,"
Theworld'
sbillionaires,"
Forbes).DoesthisinvalidatetheEMH?
WarrenBuffett’sexperiencedoesnotnecessarilyinvalidatetheEMH.Thereisthepossibilitythatheisjustlucky:
giventhattherearenumerousmoneymanagers,someareboundtoperformwelljustbyluck.StillmanywouldquestionthisherebecauseBuffett’strackrecordhasbeenconsistentlystrong.
5.Youareconsideringwhethertoinvestintwostocks,StockAandStockB.StockAhasabetaof1.15andthestandarddeviationofitsreturnshasbeenestimatedtobe0.28.ForStockB,thebetais0.84andstandarddeviationis0.48.
a.Whichstockisriskier?
StockAisriskier,thoughstockBhasgreatertotalrisk.
b.Iftherisk-freerateis4%andthemarketriskpremiumis8%,whatistheexpectedreturnforaportfoliothatiscomposedof60%Aand40%B?
Rp=.6(.132)+.4(.1072)=.12208
c.IfthecorrelationbetweenthereturnsofAandBis0.50,whatisthestandarddeviationfortheportfoliothatincludes60%Aand40%B?
σp2=(.6)2(.28)2+(.4)2(.48)2+2*.5(.6)(.4)(.28)(.48)=9.7%,σp=31.2%
Chapter3:
a.Lotteryandinsurance
Alotteryisaprospectwithalowprobabilityofahighpayoff.Manypeoplebuylotterytickets,evenwithnegativeexpectedvalues.Thesesamepeoplebuyinsurancetoprotectthemselvesfromrisk.Normally,insuranceisahedgeagainstalow-probabilitylargeloss.Thesechoicesareinconsistentwithtraditionalexpectedutilityframeworkbutcanbeexplainedbyprospecttheory.
b.Segregationandintegration
Integrationoccurswhenpositionsarelumpedtogether,whilesegregationoccurswhensituationsareviewedoneatatime.
c.Riskaversionandlossaversion
Apersonwhoisriskaversepreferstheexpectedvalueofaprospecttotheprospectitself,whereasforapersonwhoislossaverse,lossesloomlargerthangains.
d.Weightingfunctionandeventprobability
Eventprobabilityissimplythesubjectiveviewonhowlikelyaneventis.Theweightingfunctionisassociatedwiththeprobabilityofanoutcome,butisnotstrictlythesameastheprobabilityasinexpectedutilitytheory.
2.Accordingtoprospecttheory,whichispreferred?
a.ProspectAorB?
Decision(i).Choosebetween:
A(0.80,$50,$0)andB(0.40,$100,$0)
ProspectAispreferredduetoriskaversionforgains.Whilebothhavethesameexpectedchangeinwealth,Ahaslessrisk.
b.ProspectCorD?
Decision(ii).Choosebetween:
C(0.00002,$500,000,$0)andD(0.00001,$1,000,000,$0)
ProspectD,withmorerisk,ispreferredduetotheriskseekingthatoccurswhenthereareverylowprobabilitiesofpositivepayoffs.
c.Arethesechoicesconsistentwithexpectedutilitytheory?
ViolationofEUtheorybecausepreferencesareinconsistent.ThesamesortofAll
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