(完整word版)行为金融学课后答案1至5章anawer(word文档良心出品)

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:Pizzaspaghettimacaroniandcheesehamburgerw3.Considerapersonwiththefollowingutilityfunctionoverwealth:u(w)=e,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=6.20.5010U(P)=.4e+.6e=13,216.54b.Constructagraphofthisutilityfunction.Thefunctionisconvex.c.Isthispersonriskaverse,riskneutral,orariskseeker?Riskseekerbecausegraphisconvex.d.Whatisthisperson’scertaintyequivalentfortheprospect?we=13,216.54givesw=9.4892244or$948,922.44.54.Anindividualhasthefollowingutilityfunction:u(w)=wwherew=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,Econometrica”47(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.BetaandstandarddeviationBetaistheCAPMsmeasure’ofrisk.Ittakesintoaccountanassetssensitivity’tothemarketandonlymeasuressystematic,nondiversifiablerisk.Thestandarddeviationisameasureofdispersionthatincludesbothdiversifiableandnondiversifiablerisks.c.DirectandindirectagencycostsAgencycostsarisewhenmanagersincentives’arenotconsistentwithmaximizingthevalueofthefirm.Directcostsincludeexpendituresthatbenefitthemanagerbutnotthefirm,suchaspurchasingaluxuryjetfortravel.Otherdirectcostsresultfromtheneedtomonitormanagers,includingthecostofhiringoutsideauditors.Indirectcostsaremoredifficulttomeasureandresultfromlostopportunities.d.Weak,semi-strong,andstrongformmarketefficiencyWithweakformmarketefficiencypricesreflectalltheinformationcontainedinhistoricalreturns.Withsemi-strongformmarketefficiencypricesreflectallpubliclyavailableinformation.Withstrongformmarketefficiencypricesreflectinformationthatisnotpubliclyavailable,suchasinsidersinformation.’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.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?WarrenBuffettsexperience’doesnotnecessarilyinvalidatetheEMH.Thereisthepossibilitythatheisjustlucky:giventhattherearenumerousmoneymanagers,someareboundtoperformwelljustbyluck.StillmanywouldquestionthisherebecauseBuffettstrack’recordhasbeenconsistentlystrong.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)=.12208c.IfthecorrelationbetweenthereturnsofAandBis0.50,whatisthestandarddeviationfortheportfoliothatincludes60%Aand40%B?22222σp=(.6)(.28)+(.4)(.48)+2*.5(.6)(.4)(.28)(.48)=9.7%,p=31.2%σ第三章1.Differentiatethefollowingterms/concepts:a.LotteryandinsuranceAlotteryisaprospectwithalowprobabilityofahighpayoff.Manypeoplebuylotterytickets,evenwithnegativeexpectedvalues.Thesesamepeoplebuyinsurancetoprotectthemselvesfromrisk.Normally,insuranceisahedgeagainstalow-probabilitylargeloss.Thesechoicesareinconsistentwithtraditionalexpectedutilityframeworkbutcanbeexplainedbyprospecttheory.b.SegregationandintegrationIntegrationoccurswhenpositionsarelumpedtogether,whilesegregationoccurswhensituationsareviewedoneatatime.c.RiskaversionandlossaversionApersonwhoisriskaversepreferstheexpectedvalueofaprospecttotheprospectitself,whereasforapersonwhoislossaverse,lossesloomlargerthangains.d.WeightingfunctionandeventprobabilityEventprobabilityissimplythesubjectiveviewonhowlikelyaneventis.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?Whyorwhynot?ViolationofEUtheorybecausepreferencesareinconsistent.ThesamesortofAllaisparadoxprooffromchapter1canbeused.Itisalsonecessarytomaketheassumptionofpreferencehomogeneity,whichmeansthatifDispreferredtoC,itwillalsobetruethatD*ispreferredtoC*wheretheseare:C*:(0.00002,$50,$0)andD*:(0.00001,$100,$0)3.Considerapersonwiththefollowingvaluefunctionunderprospecttheory:.5v(w)=wwhenw>0.5=-2(-w)whenw<0a.Isthisindividualloss-averse?Explain.Thispersonislossaverse.Lossesarefelttwiceasmuchasgainsofequalmagnitude.b.Assumethatthisindividualweightsvaluesbyprobabilities,insteadofusingaprospecttheoryweightingfunction.Whichofthefollowingprospectswouldbepreferred?P1(.8,1000,-800)P2(.7,1200,-600)P3(.5,2000,-1000)Wecalculatethevalueofeachprospect:V(P1)=.8(31.62)+.2(-2)(28.27)=13.982V(P2)=.7(34.64)+.3(-2)(24.49)=9.55V(P3)=.5(44.72)+.5(-2)(31.62)=9.265ThereforeprospectP1ispreferred.4.Nowconsiderapersonwiththefollowingvaluefunctionunderprospecttheory:.8v(z)=zwhenz≥0.8=-3(-z)whenz<0Thisindividualhasthefollowingweightingfunction:whereweset=.65.a.Whichofthefollowingprospectswouldhechoose?PA(.001,-5000)PB(-5)Comparethevalueofeachprospect:V(PA)=.983(0)+(-3)(910.28)(.011)=-30.15(noteuseofweights)V(PB)=3*1*-3.62=-10.87ThereforeyouwouldpreferB.b.Repeatthecalculationbutusingprobabilitiesinsteadofweights.Whatdoesthisillustrate?V(PA)=.999*0+3*.001*-910.28=-2.73(noteuseofprobability)V(PB)=3*1*-3.62=-10.87ThereforeyouwouldpreferA.Thereasonfortheswitchisthatriskseekingismaintainedinthedomainoflosses(implyingrejectionoflosses)ifprobabilitiesareusedinsteadofweights.5.Whymightsomepreferaprixfixe(fixedprice)dinnercostingaboutthesameasanalacarteone(whereyoupayindividuallyforeachitem)?(Assumethefoodisidentical.)Paymentdecouplingisencouragedwithprixfixe.Youonlyfacethelossofmoneyonceratherthanmultipletimes(occurringifyouhavetofacethecostofeachitemindividuallyusinganlaàcartescheme).第五章1.Differentiatethefollowingterms/concepts:a.PrimacyandrecencyeffectsAprimacyeffectisthetendencytorelyoninformationthatcomesfirstwhenmakinganassessment,whereasarecencyeffectisthetendencytorelyonthemostrecentinformationwhenmakinganassessment.b.SalienceandavailabilityThesalienceofaneventreferstohowmuchitstandsoutrelativetootherevents,whereastheavailabilityreferstohoweasilytheeventisrecalledfrommemory.c.Fast-and-frugalheuristicsandbias-generatingheuristicsFastandfrugalheuristicsrequireaminimumoftime,knowledgeandcomputationinordertomakechoices.Oftentheyleadtoverygoodchoices.Sometimeshoweverheuristicsgoastrayandgeneratebehavioralbias.d.AutonomicandcognitiveheuristicsAutonomicheuristicsarereflexive,autonomic,non-cognitive,andrequireloweffortlevels.Cognitiveheuristicsrequiremoredeliberation.Autonomicheuristicsareappropriatewhenaveryquickdecisionmustbemadeorwhenthestakesarelow,whereascognitiveheuristicsareappropriatewhenthestakesarehigher.2.WhichdescriptionofMaryhashigherprobability?a.Marylovestoplaytennis.b.Marylovestoplaytennisand,duringthesummer,averagesatleastagameaweek.Explainyouranswer.Definetheconjunctionfallacy.Howdoesitapplyhere?Assumeforthepurposeofillustrationthattheprobabilitythatsomeonelovestoplaytennisis.2;theprobabilitythatsomeoneplaystennisonceormoreaweekduringthesummeris.1;andtheprobabilityofoneortheotherofthesethingsis.22.Pr(lovestennis)=.2Pr(lovestennisANDaverages1+)=Pr(lovestennis)+Pr(averages1+)-Pr(lovestennisORaverages1+)=.2+.1-.22=.08Thesecondprobabilityhastobelessbecauseithasonemorerequirement(notonlydoyouhavetolovetennisbutyoualsohavetoplayregularly,butsometennisloversmightjustbetoobusytodothis).Whenpeoplecommittheconjunctionfallacy(thebeliefthatthejointprobabilityismorelikelythanoneofitscomponents),theywillthinkthesecond(joint)eventismorelikelybecauseitsoundslogicalthatsomeonewholovestenniswillalsoplayregularly.3.Rexisasmartfellow.HegetsanAinacourse80%ofthetime.Stillhelikeshisleisure,onlystudyingforthefinalexaminhalfofthecourseshetakes.Neverthelesswhenhedoesstudy,heisalmostsure(95%likely)togetanA.AssuminghegotanA,howlikelyisithestudied?Ifsomeoneestimatestheabovetobe75%,whaterroraretheycommitting?Explain.P(studied|A)=P(A|studied)*[P(studied)/P(A)]=.95*(.5/.8)=.59375The“sample”isthathegotanA.Withoutknowingthisyouwouldhavesaidtheprobabilitythathestudiedwas.5.Yourightfullyshiftedtheprobabilityupwardsbasedonthesample,butyoumovedittoomuch.Youshouldhavestayedclosertothebaserate,soyouhavecommittedbaseweightunderweighting.Anotherexampleofthisis,whenwatchingsportsandnoticingthatsomeoneisplayingbetterthantheynormallydo,believingthattheyhavepermanentlyimproved.4.Whyaretwopeoplewhowitnessedthesameeventlastmonthlikelytodescribeitdifferentlytoday?Memoryisveryimprecise.Thecommonviewthatpastexperienceshavesomehowbeenwrittentothebrain’-driveshardandarethenretrieved,evenifatconsiderableeffort,isnotthewayourbrainworks.Infact,memoryisreconstructive.Thereforepeopleinrememberingsomeeventwillreconstructitindifferentways.5.Howdogamblingfallacyandclusteringillusionrelatetorepresentativeness?Provideexamplesfromsports.Inwhatwayaretheydifferent?RepresentativenessexistswhenonethinksthatAshouldlooklikeB.AcanbethesampleandBthedistribution,orvice-versa.Abeliefinahothandisthinkingtheconditionaldistributionshouldlooklikethesample.Butsometimesitseemsthatpeoplethinkthereverse,namelythatthesample,howeversmall,shouldlooklikethedistribution,inthesensethatessentialfeaturesshouldbeshared.Ahothandoftencomesintoplayinsportswhenpeopledon’tknowforcertaintheskilllevelofanathlete,andtheextenttowhichitmaychange.Gambler’sfallacyislikelytoexistwhentheunderlyingdistribution(e.g.,cardsordice)iswell-known.