行为金融学课后答案1至5章anawer

第一章1.Differentiatethefollowingterms/concepts:a.ProspectandprobabilitydistributionAprospectisalotteryorseriesofwealthoutcomes,eachofwhichisassociatedwithaprobability,whereasaprobabilitydistributiondefinesthelikelihoodofpossibleoutcomes.b.RiskanduncertaintyRiskismeasurableusingprobability,butuncertaintyisnot.Uncertaintyiswhenprobabilitiescan’tbeassignedorthepossibleoutcomesareunclear.c.UtilityfunctionandexpectedutilityAutilityfunction,denotedasu(),assignsnumberstopossibleoutcomessothatpreferredchoicesreceivehighernumbers.Utilitycanbethoughtofasthesatisfactionreceivedfromaparticularoutcome.d.Riskaversion,riskseeking,andriskneutralityRiskaversiondescribessomeonewhopreferstheexpectedvalueofalotterytothelotteryitself.Riskseekingdescribessomeonewhoprefersalotterytotheexpectedvalueofalottery.Andriskneutralitydescribessomeonewhoseutilityoftheexpectedvalueofalotteryisequaltotheexpectedutilityofthelottery.2.Wheneatingout,Roryprefersspaghettioverahamburger.Lastnightshehadachoiceofspaghettiandmacaroniandcheeseanddecidedonthespaghettiagain.Thenightbefore,Roryhadachoicebetweenspaghetti,pizza,andahamburgerandthistimeshehadpizza.Then,todayshechosemacaroniandcheeseoverahamburger.DoesherselectiontodayindicatethatRory’schoicesareconsistentwitheconomicrationality?Whyorwhynot?Rory’spreferencesareconsistentwithrationality.Theyarecompleteandtransitive.Weseethatherpreferenceorderingis:Pizzaspaghettimacaroniandcheesehamburger3.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=6.2U(P)=.4e0.50+.6e10=13,216.54b.Constructagraphofthisutilityfunction.Thefunctionisconvex.c.Isthispersonriskaverse,riskneutral,orariskseeker?Riskseekerbecausegraphisconvex.d.Whatisthisperson’scertaintyequivalentfortheprospect?ew=13,216.54givesw=9.4892244or$948,922.444.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,respectivelyb.WhatisthecertaintyequivalentforprospectP2?998.3830c.Withoutdoinganycalculations,wouldthecertaintyequivalentforprospectP1belargerorsmaller?Why?ThecertaintyequivalentforP1wouldbesmallerbecauseP2isrankedhigherthanP1.5.Considertwoprospects:Problem1:ChoosebetweenProspectA:$2,500withprobability.33,$2,400withprobability.66,Zerowithprobability.01.AndProspectB:$2,400withcertainty.Problem2:ChoosebetweenProspectC:$2,500withprobability.33,Zerowithprobability.67.AndProspectD:$2,400withprobability.34,Zerowithprobability.66.IthasbeenshownbyDanielKahnemanandAmosTversky(1979,“Prospecttheory:Ananalysisofdecisionunderrisk,”Econometrica47(2),263-291)thatmorepeoplechooseBwhenpresentedwithproblem1andwhenpresentedwithproblem2,mostpeoplechooseC.Thesechoicesviolateexpectedutilitytheory.Why?ThisisanexampleoftheAllaisparadox.Thefirstchoicesuggeststhatu(2,400).33u(2,500)+.66u(2,400)or.34u(2,400).33u(2,500)whilethesecondchoicesuggestsjusttheoppositeinequality.第二章1.Differentiatethefollowingterms/concepts:a.SystematicandnonsystematicriskNondiversifiableorsystematicriskisriskthatiscommontoallriskyassetsinthesystemandcannotbediversified.Diversifiableorunsystematicriskisspecifictotheassetinquestionandcanbediversified.b.BetaandstandarddeviationBetaistheCAPM’smeasureofrisk.Ittakesintoaccountanasset’ssensitivitytothemarketandonlymeasuressystematic,nondiversifiablerisk.Thestandarddeviationisameasureofdispersionthatincludesbothdiversifiableandnondiversifiablerisks.c.DirectandindirectagencycostsAgencycostsarisewhenmanagers’incentivesarenotconsistentwithmaximizingthevalueofthefirm.Directcostsincludeexpendituresthatbenefitthemanagerbutnotthefirm,suchaspurchasingaluxuryjetfortravel.Otherdirectcostsresultfromtheneedtomonitormanagers,includingthecostofhiringoutsideauditors.Indirectcostsaremoredifficulttomeasureandresultfromlostopportunities.d.Weak,semi-strong,andstrongformmarketefficiencyWithweakformmarketefficiencypricesreflectalltheinformationcontainedinhistoricalreturns.Withsemi-strongformmarketefficiencypricesreflectallpubliclyavailableinformation.Withstrongformmarketefficiencypricesreflectinformationthatisnotpubliclyavailable,suchasinsiders’information.2.Astockhasabetaof1.2andthestandarddeviationofitsreturnsis25%.Themarketriskpremiumis5%andtherisk-freerateis4%.a.Whatistheexpectedreturnforthestock?E(R)=.04+1.2(.05)=.10b.Whataretheexpectedreturnandstandarddeviationforaportfoliothatisequallyinvestedinthestockandtherisk-freeasset?E(Rp)=.5(.10)+.5(.04)=.07,σp=(.5)(.25)=.125c.Afinancialanalystforecastsareturnof12%forthestock.Wouldyoubuyit?Whyorwhynot?Ifyoubelievethesourceisverycredible,buyitasitisexpectedtogenerateapositiveabnormal(orexcess)return