2022年2022年行为金融学课后答案1至5章anawer

1、精选学习资料 - - - 欢迎下载第一章1. differentiate the following terms/concepts:a. prospect and probability distributiona prospect is a lottery or series of wealth outcomes、 each of which is associated with a probability、 whereas a probability distribution defines the likelihood of possible outcomes.b. risk and u

2、ncertaintyrisk is measurable using probability、but uncertainty is not.uncertaintyis when probabilities can t be assigned or the possible outcomes are unclear.c. utility function and expected utilitya utility function、 denoted as u、 assigns numbers to possible outcomes so that preferred choices recei

3、ve higher numbers.utility can be thought of as the satisfaction received from a particular outcome.d. risk aversion、 risk seeking、 and risk neutralityrisk aversion describes someone who prefers the expected value of a lottery to the lottery itself. risk seeking describes someone who prefers a lotter

4、y to the expected value of a lottery.and risk neutralitydescribes someone whose utilityof the expected value of a lotteryis equal to the expected utility of the lottery.2. when eating out、 rory prefers spaghetti over a hamburger.last night she had a choice of spaghetti and macaroni and cheese and de

5、cided on the spaghetti again.the night before、 rory had a choice between spaghetti、 pizza、 and a hamburger and this time she had pizza.then、 today she chose macaroni and cheese over a hamburger.does her selection today indicate thatrory s choices are consistent with economic rationality. why or why

6、not.rory s preferences are consistent withrationality.they are complete and transitive.we see that her preference ordering is:pizzaspaghettimacaroni and cheesehamburger精品学习资料精选学习资料 - - - 欢迎下载3. consider a person with the followingutilityfunctionover wealth: uw = ew、 where e is the精品学习资料精选学习资料 - - -

7、欢迎下载exponential function approximately equal to 2.7183 and w = wealth in hundreds of thousands of dollars. suppose that this person has a 40% chance of wealth of $50、000 and a 60% chance of wealth of $1、000、000 as summarized by p0.40、 $50、000、 $1、000、000.a. what is the expected value of wealth.精品学习资

8、料精选学习资料 - - - 欢迎下载ew = .4 * .5 + .6 * 10 = 6.2up = .4e 0.50 + .6e10 = 13、216.54b. construct a graph of this utility function.the function is convex.c. is this person risk averse、 risk neutral、 or a risk seeker.risk seeker because graph is convex.d. what is this person s certainty equivalent for the

9、prospect. ew = 13、216.54gives w = 9.4892244 or $948、922.444. an individual has the following utility function: uw = w.5 where w = wealth.a. using expected utility、 order the following prospects in terms of preference、 from the most to the least preferred:p1.8、 1、000、 600p2.7、 1、200、 600p3.5、 2、000、

10、300ranking: p2、 p3、 p1 with expected utilities 31.5972、 31.0209、 and 30.1972 for prospects 2、 3、 and精品学习资料精选学习资料 - - - 欢迎下载1、 respectivelyb. what is the certainty equivalent for prospect p2.998.3830c. withoutdoing any calculations、 wouldthe certaintyequivalent for prospect p1 be larger or smaller.wh

11、y.the certainty equivalent for p1 would be smaller because p2 is ranked higher than p1.5. consider two prospects: problem 1: choose betweenprospect a:$2、500 with probability .33、$2、400 with probability .66、 zero with probability .01.and prospect b:$2、400 with certainty.problem 2: choose betweenprosp

12、ect c:$2、500 with probability .33、zero with probability .67.and prospect d:$2、400 with probability .34、zero with probability .66.it has been shown by daniel kahneman and amos tversky 1979、“ prospect theory: an analysisof decision under risk、econom”e trica 472、 263-291 that more people choose b when

13、presentedwithproblem 1 and whenpresented withproblem 2、 most people choose c.these choices violate expected utility theory.why.this is an example of the allais paradox.the first choice suggests that u2、400 > .33u2、500 + .66u2、400 or .34u2、400 > .33 u2、500while the second choice suggests just t

14、he opposite inequality.其次章1. differentiate the following terms/concepts:a. systematic and nonsystematic risknondiversifiableor systematic risk is risk that is common to all risky assets in the system and cannot be diversified.diversifiable or unsystematic risk is specific to the asset in question an

15、d can be diversified.精品学习资料精选学习资料 - - - 欢迎下载b. beta and standard deviation精品学习资料精选学习资料 - - - 欢迎下载beta is the capms measure of risk.it takes into account an assets sensitivityto the market and精品学习资料精选学习资料 - - - 欢迎下载onlymeasures systematic、 nondiversifiablerisk.thestandarddeviationisameasure of disper

16、sion that includes both diversifiable and nondiversifiable risks.c. direct and indirect agency costsagency costs arise when managersincentives are not consistent with maximizing the value of thefirm.directcosts includeexpenditures thatbenefit the manager but not the firm、such as purchasing a luxury

17、jet for travel.other direct costs result from the need to monitor managers、 includingthe cost of hiringoutside auditors.indirect costs are more difficultto measure and result from lost opportunities.d. weak、 semi-strong、 and strong form market efficiencywith weak form market efficiency prices reflec

18、t all the information contained in historical returns. with semi-strong form marketefficiency prices reflect all publiclyavailable information.with strong form market efficiency prices reflectinformationthat is not publiclyavailable、such asinsiders information.2. a stock has a beta of 1.2 and the st

19、andard deviation of its returns is 25%.the market risk premium is 5% and the risk-free rate is 4%.a. what is the expected return for the stock.er = .04 + 1.2.05 = .10b. what are the expected return and standard deviation for a portfolio that is equally invested in the stock and the risk-free asset.e

20、rp = .5.10 +.5.04 = .07、p =.5.25 =.125c. a financial analyst forecasts a return of 12% for the stock.would you buy it.why or why not.if you believe the source is very credible、 buy it as it is expected to generate a positive abnormal or excess return.3. what is the joint hypothesis problem.why is it

21、 important.if when testing one hypothesis another must be assumed to hold、 a joint-hypothesis problem arises. for us、 this is of particular interest when we are testing market efficiency because of the need to utilizea particularrisk-adjustmentmodel to produce required returns、 that is、 to risk-adju

22、st.精品学习资料精选学习资料 - - - 欢迎下载this would not be a problem if we knew with certainty what the correct risk adjustment model is、 but unfortunately we do not.if a test rejects the emh、 is it because the emh does not hold、 or because we did not properly measure abnormal returns.we simply do not know for cer

23、tain the answer to this question.4. warren buffett has been a very successful investor.in 2021 luisa kroll reported that buffetttopped forbes magazine s list of the world s richest people with a fortune estimated to be worth$62 billion march 5、 2021、 "the world's billionaires 、" forbes

24、.does this invalidate the emh.warren buffett s experience does not necessarily invalidatethe emh.there is the possibilitythat he is just lucky: given that there are numerous money managers、 some are bound to perform well just by luck.still many would question this here because buffett s track record

25、 has beenconsistently strong.5. you are considering whether to invest in two stocks、 stock a and stock b.stock a has a beta of 1.15 and the standard deviation of its returns has been estimated to be 0.28. for stock b、 the beta is 0.84 and standard deviation is 0.48.a. which stock is riskier.stock a

26、is riskier、 though stock b has greater total risk.b. if the risk-free rate is 4% and the market risk premium is 8%、 what is the expected return for a portfolio that is composed of 60% a and 40% b.rp = .6.132 + .4 .1072 = .12208c. ifthe correlationbetween the returns ofa and b is 0.50、 what is the st

27、andard deviation for the portfolio that includes 60% a and 40% b.精品学习资料精选学习资料 - - - 欢迎下载2p= .622.28+ .422.48+ 2*.8.48 = 9.7%、p = 31.2% 精品学习资料精选学习资料 - - - 欢迎下载第三章1. differentiate the following terms/concepts:a. lottery and insurancea lottery is a prospect with a low probability of a high payof

28、f.many people buy lottery tickets、 even with negative expected values.these same people buy insurance to protect themselves from risk.normally、 insurance isa hedge against a low-probabilitylarge loss.these choices are inconsistent with traditional expected utility framework but can be explained by p

29、rospect theory.b. segregation and integration精品学习资料精选学习资料 - - - 欢迎下载integration occurs when positions are lumped together、 while segregation occurs when situations are viewed one at a time.c. risk aversion and loss aversiona person who is risk averse prefers the expected value of a prospect to the p

30、rospect itself、 whereas for a person who is loss averse、 losses loom larger than gains.d. weighting function and event probabilityevent probability is simply the subjective view on how likely an event is.the weighting function is associated with the probability of an outcome、 but is not strictly the

31、 same as the probability asin expected utility theory.2. according to prospect theory、 which is preferred.a. prospect a or b.decision i.choose between:a0.80、 $50、 $0and b0.40、 $100、 $0prospect a is preferreddue to risk aversionfor gains.whileboth have the same expected change in wealth、 a has less r

32、isk.b. prospect c or d.decision ii.choose between:c0.00002、 $500、000、 $0 and d0.00001、 $1、000、000、 $0prospect d、 with more risk、 is preferred due to the risk seeking that occurs when there are very low probabilities of positive payoffs.c. are these choices consistent with expected utility theory.why

33、 or why not.violationof eu theory because preferences are inconsistent.the same sort of allaisparadox proof from chapter 1 can be used.it is also necessary to make the assumption of preference homogeneity、 which means that if d is preferred to c、 it will also be true that d* is preferred to c* where

34、 these are:c*:0.00002、 $50、 $0 and d*: 0.00001、 $100、 $03. consider a person with the following value function under prospect theory:vw= w.5when w > 0= -2-w .5when w < 0a. is this individual loss-averse.explain.精品学习资料精选学习资料 - - - 欢迎下载this person is loss averse.losses are felt twice as much as

35、gains of equal magnitude.b. assume that this individual weights values by probabilities、 instead of using a prospect theory weighting function.which of the following prospects would be preferred.p1.8、 1000、 -800p2.7、 1200、 -600p3.5、 2000、 -1000we calculate the value of each prospect: vp1 = .831.62+.

36、2-228.27= 13.982vp2 = .734.64+.3-224.49= 9.55vp3 = .544.72+.5-231.62= 9.265therefore prospect p1 is preferred.4. now consider a person with the following value function under prospect theory:.8vz= zwhen z 0= -3-z .8when z < 0 this individual has the following weighting function:where we set=.65.a

37、. which of the following prospects would he choose.pa.001、 -5000 pb-5compare the value of each prospect:vpa = .9830 + -3910.28.011 = -30.15 note use of weights vpb = 3 * 1 * -3.62 = -10.87therefore you would prefer b.b. repeat the calculation but using probabilities instead of weights.what does this

38、 illustrate.精品学习资料精选学习资料 - - - 欢迎下载vpa = .999 * 0 + 3 * .001 * -910.28 = -2.73 note use of probabilityvpb = 3 * 1 * -3.62 = -10.87therefore you would prefer a.the reason for the switch is that risk seeking is maintained in the domain of losses implying rejection of losses if probabilities are used i

39、nstead of weights.5. why might some prefer aprix fixe fixed price dinner costing about the same as ana la carte one where you pay individually for each item.assume the food is identical.payment decoupling is encouraged with prix fixe.you only face the loss of money once rather than multiple times oc

40、curring if you have to face the cost of each item individually using anla carte scheme.第五章1. differentiate the following terms/concepts:a. primacy and recency effectsaprimacyeffect isthe tendencyto relyon informationthatcomes firstwhen makingan assessment、 whereas a recency effect is the tendency to

41、 rely on the most recent information when making an assessment.b. salience and availabilitythe salience of an event refers to how much it stands out relative to other events、 whereas the availability refers to how easily the event is recalled from memory.c. fast-and-frugal heuristics and bias-genera

42、ting heuristicsfast and frugal heuristics require a minimum of time、 knowledge and computation in order to make choices. often they lead to very good choices. sometimes however heuristics go astray and generate behavioral bias.d. autonomic and cognitive heuristicsautonomic heuristics are reflexive、

43、autonomic、 non-cognitive、 and require low effort levels. cognitive heuristics require more deliberation. autonomic heuristics are appropriate when a very quick decision must be made or when the stakes are low、 whereas cognitive heuristics are appropriate when the stakes are higher.2. which descripti

44、on of mary has higher probability.精品学习资料精选学习资料 - - - 欢迎下载a. mary loves to play tennis.b. mary loves to play tennis and、 during the summer、 averages at least a game a week.explain your answer.define the conjunction fallacy.how does it apply here.assume for the purpose of illustration that the probabi

45、lity that someone loves to play tennis is .2; the probability that someone plays tennis once or more a week during the summer is .1; and the probability of one or the other of these things is .22.prloves tennis = .2prloves tennis and averages 1+= prloves tennis + praverages 1+ - prloves tennis or av

46、erages 1+= .2 + .1 - .22 = .08the second probability has to be less because it has one more requirement not only do you have to love tennis but you also have to play regularly、 but some tennis lovers might just be too busy to do this.when people commit the conjunction fallacy the belief that the joi

47、nt probability is morelikely than one of its components、 they will think the second joint event is more likely because it sounds logical that someone who loves tennis will also play regularly.3. rex is a smart fellow.he gets an a in a course 80% of the time.still he likes his leisure、 only studying

48、for the final exam in half of the courses he takes. neverthelesswhenhe doesstudy、he is almostsure95% likelytoget an a. assuminghe gotan a、 howlikelyis ithe studied.if someoneestimatesthe above to be 75%、 what error are they committing.explain.pstudied|a = pa|studied * pstudied/pa= .95 * .5 / .8 = .59375the“ sample” is that he got an aw.ithout knowing this you would ha