行为金融学1-3章习题&答案

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1、CHAPTER1:DiscussionQuestionsandProblemsDifferentiatethefollowingterms/concepts:a.Prospectandprobabilitydistribution:Aprospectisalotteryorseriesofwealthoutcomes,eachofwhichisassociatedwithaprobability,whereasaprobabilitydistributiondefinesthelikelihoodofpossibleoutcomes.b.Riskanduncer

2、tainty:Riskismeasurableusingprobability,butuncertaintyisnot.Uncertaintyiswhenprobabilitiescan’tbeassignedorthepossibleoutcomesareunclear.c.Utilityfunctionandexpectedutility:Autilityfunction,denotedasu,assignsnumberstopossibleoutcomessothatpreferredchoicesreceivehighernumbers.Utilityc

3、anbethoughtofasthesatisfactionreceivedfromaparticularoutcome.d.Riskaversion,riskseeking,andriskneutrality:Riskaversiondescribessomeonewhopreferstheexpectedvalueofalotterytothelotteryitself.Riskseekingdescribessomeonewhoprefersalotterytotheexpectedvalueofalottery.Andriskneutralitydesc

4、ribessomeonewhoseutilityoftheexpectedvalueofalotteryisequaltotheexpectedutilityofthelottery.Chapter2:DiscussionQuestionsandProblemsDifferentiatethefollowingterms/concepts:a.Systematicandnonsystematicrisk:Nondiversifiableorsystematicriskisriskthatiscommontoallriskyassetsinthesystemand

5、cannotbediversified.Diversifiableorunsystematicriskisspecifictotheassetinquestionandcanbediversified.b.Betaandstandarddeviation:BetaistheCAPM’smeasureofrisk.Ittakesintoaccountanasset’ssensitivitytothemarketandonlymeasuressystematic,nondiversifiablerisk.Thestandarddeviationisameasureo

6、fdispersionthatincludesbothdiversifiableandnondiversifiablerisks.c.Directandindirectagencycosts:Agencycostsarisewhenmanagers’incentivesarenotconsistentwithmaximizingthevalueofthefirm.Directcostsincludeexpendituresthatbenefitthemanagerbutnotthefirm,suchaspurchasingaluxuryjetfortravel.

7、Otherdirectcostsresultfromtheneedtomonitormanagers,includingthecostofhiringoutsideauditors.Indirectcostsaremoredifficulttomeasureandresultfromlostopportunities.d.Weak,semi-strong,andstrongformmarketefficiency:Withweakformmarketefficiencypricesreflectalltheinformationcontainedinhistor

8、icalreturns.