行为金融学课后答案1至5章anawer

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1、第一章1.Differentiatethefollowingterms/concepts:a.ProspectandprobabilitydistributionAprospectisalotteryorseriesofwealthoutcomes,eachofwhichisassociatedwithaprobability,whereasaprobabilitydistributiondefinesthelikelihoodofpossibleoutcomes.b.Riskanduncert

2、aintyRiskismeasurableusingprobability,butuncertaintyisnot.Uncertaintyiswhenprobabilitiescan’tbeassignedorthepossibleoutcomesareunclear.c.UtilityfunctionandexpectedutilityAutilityfunction,denotedasu( ),assignsnumberstopossibleoutcomessothatpreferredch

3、oicesreceivehighernumbers.Utilitycanbethoughtofasthesatisfactionreceivedfromaparticularoutcome.d.Riskaversion,riskseeking,andriskneutralityRiskaversiondescribessomeonewhopreferstheexpectedvalueofalotterytothelotteryitself.Riskseekingdescribessomeonew

4、hoprefersalotterytotheexpectedvalueofalottery.Andriskneutralitydescribessomeonewhoseutilityoftheexpectedvalueofalotteryisequaltotheexpectedutilityofthelottery.第二章2.Astockhasabetaof1.2andthestandarddeviationofitsreturnsis25%.Themarketriskpremiumis5%an

5、dtherisk-freerateis4%.a.Whatistheexpectedreturnforthestock?E(R)=.04+1.2(.05)=.10b.Whataretheexpectedreturnandstandarddeviationforaportfoliothatisequallyinvestedinthestockandtherisk-freeasset?E(Rp)=.5(.10)+.5(.04)=.07,σp=(.5)(.25)=.125c.Afinancialanal

6、ystforecastsareturnof12%forthestock.Wouldyoubuyit?Whyorwhynot?Ifyoubelievethesourceisverycredible,buyitasitisexpectedtogenerateapositiveabnormal(orexcess)return.5.Youareconsideringwhethertoinvestintwostocks,StockAandStockB.StockAhasabetaof1.15andthes

7、tandarddeviationofitsreturnshasbeenestimatedtobe0.28.ForStockB,thebetais0.84andstandarddeviationis0.48.a.Whichstockisriskier?StockAisriskier,thoughstockBhasgreatertotalrisk.b.Iftherisk-freerateis4%andthemarketriskpremiumis8%,whatistheexpectedreturnfo

8、raportfoliothatiscomposedof60%Aand40%B?Rp=.6(.132)+.4(.1072)=.12208c.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%第三章2.