Copeland金融理论与公司政策习题答案01

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金融学的试题及答案

金融学的试题及答案一、选择题（每题5分，共30分）1. 以下哪一项不是金融市场的基本功能？A. 资源配置B. 风险管理C. 价格发现D. 通货膨胀答案：D2. 以下哪种金融工具不属于货币市场？A. 国债B. 商业票据C. 银行承兑汇票D. 企业债券答案：D3. 以下哪种金融监管措施属于预防性监管？A. 风险加权资本充足率要求B. 罚款C. 撤销金融机构牌照D. 临时接管答案：A4. 以下哪个国家的金融市场被认为是全球最大的金融市场？A. 美国B. 英国C. 德国D. 日本答案：A5. 以下哪个理论解释了利率的期限结构？A. 预期理论B. 流动性偏好理论C. 市场分割理论D. 所有以上选项答案：D6. 以下哪种金融工具具有最高的信用风险？A. 国债B. 企业债券C. 金融债券D. 银行存款答案：B二、简答题（每题15分，共60分）1. 简述金融市场的功能。

答案：金融市场的功能主要包括以下几点：（1）资源配置：金融市场能够有效地将社会闲散资金配置到最需要资金的企业和项目中，提高资金的使用效率。

（2）风险管理：金融市场提供了各种金融工具，使得企业和个人能够通过交易金融工具来分散、转移和规避风险。

（3）价格发现：金融市场是金融资产价格形成和变动的主要场所，能够客观地反映金融资产的价值。

（4）流动性提供：金融市场提供了金融资产的交易平台，使得金融资产具有较好的流动性。

2. 简述金融监管的目标和手段。

答案：金融监管的目标主要包括以下几点：（1）确保金融体系的稳定性：防止金融体系的崩溃，保护存款人的利益。

（2）促进金融市场的公平、公正和透明：维护金融市场的秩序，防止市场操纵和内幕交易。

（3）保护投资者利益：确保投资者能够获得充分的信息，提高金融市场的透明度。

金融监管的手段主要包括以下几点：（1）预防性监管：如风险加权资本充足率要求、流动性要求等。

（2）惩罚性监管：如罚款、撤销金融机构牌照等。

（3）临时性监管：如临时接管、限制交易等。

国际金融学(含答案)

国际金融学(含答案)一、引言随着全球化进程的加速，国际金融学作为一门研究国际资本流动、金融市场、货币政策和汇率制度等方面的学科，日益受到广泛关注。

本文将对国际金融学中的一些核心概念和问题进行探讨，并给出相应的解答。

二、国际资本流动国际资本流动是指跨国界的资本流动，包括直接投资、证券投资和其他投资。

国际资本流动对全球经济发展具有重要意义，但同时也带来了一定的风险。

问题1：国际资本流动的主要原因是什么？解答：国际资本流动的主要原因包括以下几点：1. 利率差异：投资者寻求更高的投资回报，从而在全球范围内进行资本配置。

2. 投资多样化：投资者通过在不同国家和地区的投资，降低投资风险。

3. 投资环境：包括政策、法律、市场潜力等因素，吸引跨国公司进行投资。

三、汇率制度汇率制度是指一个国家或地区确定其货币与其他货币比价的制度。

汇率制度对国际贸易、投资和货币政策产生重要影响。

问题2：固定汇率制度和浮动汇率制度各有何优缺点？解答：固定汇率制度优点是汇率稳定，有利于国际贸易和投资，缺点是容易产生货币高估或低估，导致国际收支失衡。

浮动汇率制度优点是能够自动调节国际收支，缺点是汇率波动较大，可能对经济产生冲击。

四、国际金融市场国际金融市场是指全球范围内的金融市场，包括货币市场、债券市场、股票市场、外汇市场等。

国际金融市场为全球投资者提供了融资和投资渠道，对全球经济发展具有重要作用。

问题3：国际金融市场的风险有哪些？解答：国际金融市场的风险主要包括以下几点：1. 市场风险：包括利率风险、汇率风险、股价风险等。

2. 信用风险：借款人违约或信用评级下降，导致投资者损失。

3. 流动性风险：市场流动性不足，导致投资者无法及时买卖资产。

4. 操作风险：交易过程中的操作失误、技术故障等。

五、货币政策货币政策是指中央银行通过调整货币供应量、利率等手段，实现宏观经济目标的一种政策。

货币政策对国际金融体系产生重要影响。

问题4：货币政策如何影响国际金融市场？解答：货币政策对国际金融市场的影响主要体现在以下几个方面：1. 利率：利率调整影响国际资本流动，进而影响汇率、股票、债券等市场。

金融考试题及答案解析

金融考试题及答案解析一、单项选择题（每题2分，共10分）1. 货币的起源是（）。

A. 交换B. 借贷C. 税收D. 赠与答案：A解析：货币起源于商品交换的需要，最初作为交换媒介，后来逐渐发展为现代意义上的货币。

2. 金融市场的基本功能是（）。

A. 融资B. 投资C. 风险管理D. 以上都是答案：D解析：金融市场的基本功能包括融资、投资和风险管理。

它为资金的供需双方提供了交易的平台。

3. 下列哪一项不是货币市场工具？（）A. 短期国债B. 银行承兑汇票C. 长期企业债券D. 短期商业票据答案：C解析：货币市场工具通常指期限在一年以内的短期金融工具，长期企业债券不属于货币市场工具。

4. 利率市场化是指（）。

A. 政府规定利率B. 市场决定利率C. 银行决定利率D. 企业决定利率答案：B解析：利率市场化是指利率由市场供求关系决定，而不是由政府或其他机构规定。

5. 通货膨胀是指（）。

A. 货币供应量增加B. 货币供应量减少C. 物价水平持续上升D. 货币购买力下降答案：C解析：通货膨胀是指在一定时期内，货币的购买力下降，物价水平持续上升的现象。

二、多项选择题（每题3分，共15分）1. 下列哪些属于金融监管机构的职能？（）A. 制定金融政策B. 监管金融市场C. 保护投资者利益D. 提供金融服务答案：ABC解析：金融监管机构的职能包括制定金融政策、监管金融市场以及保护投资者利益。

2. 以下哪些因素会影响汇率？（）A. 国际收支状况B. 利率水平C. 政治稳定性D. 自然灾害答案：ABC解析：汇率受多种因素影响，包括国际收支状况、利率水平和政治稳定性等。

3. 下列哪些属于金融衍生品？（）A. 股票B. 期货C. 期权D. 债券答案：BC解析：金融衍生品包括期货和期权等，它们的价值依赖于其他基础资产。

4. 以下哪些是投资银行的主要业务？（）A. 证券发行B. 资产管理C. 财务咨询D. 零售银行业务答案：ABC解析：投资银行的主要业务包括证券发行、资产管理和财务咨询。

国际金融学试题及参考答案

国际金融学试题及参考答案一、选择题（每题2分，共20分）1. 以下哪项不属于国际金融市场的主要功能？A. 资金的转移与调拨B. 货币兑换C. 资本流动D. 资本积累参考答案：D2. 以下哪种货币制度属于固定汇率制度？A. 金本位制B. 布雷顿森林体系C. 浮动汇率制度D. 混合汇率制度参考答案：B3. 以下哪个因素不会影响汇率的变动？A. 国际收支状况B. 利率变动C. 通货膨胀率D. 国家的外汇储备参考答案：D4. 以下哪个国家的货币被认为是“避险货币”？A. 美国B. 德国C. 日本D. 瑞士参考答案：D5. 以下哪个金融工具在国际金融市场上具有较高的信用等级？A. 欧洲债券B. 美国国债C. 日本国债D. 英国国债参考答案：B6. 以下哪个组织主要负责国际金融监管？A. 国际货币基金组织（IMF）B. 世界银行C. 国际清算银行（BIS）D. 二十国集团（G20）参考答案：C7. 以下哪个国家不属于“金砖五国”（BRICS）？A. 巴西B. 俄罗斯C. 印度D. 英国参考答案：D8. 以下哪个国际金融组织的主要任务是为成员国提供短期资金？A. 国际货币基金组织（IMF）B. 世界银行C. 国际清算银行（BIS）D. 亚洲开发银行参考答案：A9. 以下哪个国家实行独立的货币政策？A. 美国B. 欧元区C. 日本D. 英国参考答案：A10. 以下哪个国际金融事件标志着全球金融体系的重大变革？A. 2008年美国次贷危机B. 1997年亚洲金融危机C. 1971年美国宣布停止黄金兑换D. 1944年布雷顿森林会议参考答案：D二、简答题（每题10分，共30分）1. 简述国际金融市场的主要功能。

参考答案：国际金融市场的主要功能包括：（1）资金的转移与调拨：国际金融市场为各国政府、金融机构和企业提供资金的转移和调拨服务。

（2）货币兑换：国际金融市场为各国政府、金融机构和企业提供货币兑换服务。

（3）资本流动：国际金融市场为跨国资本流动提供平台，促进全球资本配置。

Copeland金融理论与公司政策习题答案04

Chapter 4State Preference Theory1. (a)PayoffState 1 State 2 Price Security A $30 $10 P A = $5 Security B$20$40P B = $10(b) The prices of pure securities are given by the equations below:P 1Q A1 + P 2Q A2 = P A P 1Q B1 + P 2Q B2 = P BQ ij = dollar payoff of security i in state j P i = price of security i (i = A, B) P j = price of pure security j (j = 1, 2)Substituting the correct numbers,30P 1 + 10P 2 = 5 20P 1 + 40P 2 = 10Multiplying the first equation by 4 and subtracting from the second equation,20P 1 + 40P 2 = 10 1211[120P 40P 20]100P 10P .10−+=== Substituting into the first equation,20P 1 + 40P 2 = 10 2 + 40P 2 = 1040P 2 = 8 P 2 = .20 P 1 = .10 P 2 = .20Chapter 4 State Preference Theory 332. (a) The equations to determine the prices of pure securities, P 1 and P 2, are given below:P 1Q j1 + P 2Q j2 = P j P 1Q k1 + P 2Q k2 = P kwhere Q j1 is the payoff of security j in state 1; P 1 is the price of a pure security which pays $1 if state 1 occurs; and P j is the price of security j.Substitution of payoffs and prices for securities j and k in the situation given yields12P 1 + 20P 2 = 22 24P 1 + 10P 2 = 20Multiplying the first equation by two, and subtracting the second equation from the first,24P 1 + 40P 2 = 44 12[24P 10P 20]−+=230P 24= 2P 24/30.8==Substituting .8 for P 2 in the first equation,12P 1 + 20(.8) = 2212P 1 = 22 – 16 P 1 = 6/12 = .5(b) The price of security i, P i , can be determined by the payoff of i in states 1 and 2, and the prices ofpure securities for states 1 and 2. From part a) we know the prices of pure securities, P 1 = .5 and P 2 = .8. Thus,P i = P 1Q il + P 2Q i2 = .5(6) + .8(10) = 3 + 8 = $11.003. (a) The payoff table is:S 1 = Peace S 2 = War Nova Nutrients = j St. 6 St. 6 Galactic Steel = kSt. 4St. 36To find the price of pure securities, P 1 and P 2, solve two equations with two unknowns:6P 1 + 6P 2 = St. 10 4P 1 + 36P 2 = St. 2034 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth EditionMultiplying the first equation by six, and subtracting it from the second equation,4P 1 + 36P 2 = St. 20 121[36P + 36P = St. 60]32P = 40−−−P 1 = St. 1.25 6(1.25) + 6P 2 = 10P 2 = .4167(b) L et n j = number of Nova Nutrients shares and n k = number of Galactic Steel shares. Thenn j = W 0/P j = 1,000/10 = 100 n k = W 0/P k = 1,000/20 = 50If he buys only Nova Nutrients, he can buy 100 shares. If he buys only Galactic Steel, he can buy50 shares.Let W 1 = his final wealth if peace prevails, and W 2 = his final wealth if war prevails.If he buys N.N.: W 1 = n j Q j1= 100(6) = 600 St. W 2 = n j Q j2 = 100(6) = 600 St.If he buys G.S.: W 1 = n k Q k1= 50(4) = 200 St. W 2 = n k Q k2= 50(36) = 1,800 St.(c) For sales of j (N.N.) and purchases of k (G.S.): If he sells –n j shares of j, he receives –n j P j , andwith his initial W 0 he will have –n j P j + W 0. With this he can buy at most (–n j P j + W 0)/P k shares of k, which will return at least [(–n j P j + W 0)/P k ]Q k1; he must pay out at most –n j Q j1. Therefore, the minimum –n j is determined byj j 0k1j j1k n P +W Q n Q P −=− −+=−j j (10n 1,000)46n 20–2n j + 200 = –6n jn j = –50 shares of j (N.N.)Chapter 4 State Preference Theory 35For sales of k and purchase of j: If he sells –n k shares of k, he receives –n k P k , and with his initial W 0 he will have –n k P k + W 0. With this he can buy at most (–n k P k + W 0)/P j shares of j, which will return at least [(–n k P k + W 0) /P j ]Q j2; he must pay out at most –n k Q k2. Therefore, the minimum –n k is determined byk k 0j2k k2j n P W Q n Q P −+=− k k (20n 1,000)636n 10−+=−–12n k + 600 = –36n kn k = –25 shares of k (G.S.)(d) L et P a = price of Astro Ammo. ThenP a = P 1Q a1 + P 2Q a2 = 1.25(28) + .4167(36) = 35 + 15 = 50 St.(e) See Figure S4.1 on the following page.(f) The slope of the budget line must equal the slope of the utility curve (marginal rate of substitution)at optimum, as given in the equation below:2112W /W [U /W U /W ]−∂∂=−∂∂÷∂∂With utility function .8.212U = W W , this equality results in.2.2.8.8112121221.8W W .2W W 4W W 4W /W −−−÷==36 Copeland/Shastri/Weston • Financial Theory and Corporate Policy,Fourth EditionFigure S4.1 State payoffs in peace and war In equilibrium,21122112W /W P /P 4W /W P /P (5/4)/(5/12)(12/4)3∂∂=====Therefore,4W 2 = 3W 1 W 1 = (4/3)W 2The wealth constraint is:W 0 = P 1W 1 + P 2W 2Substituting the correct numbers,1,000 = (5/4) (4/3)W 2 + (5/12)W 2= (20/12)W 2 + (5/12)W 2 = (25/12)W 2 W 2 = (1,000)(12/25) = $480 W 1 = (4/3)480 = $640Chapter 4 State Preference Theory 37To find optimal portfolio, solve the two simultaneous equationsW 1 = n j Q j1 + n k Q k1 W 2 = n j Q j2 + n k Q k2Substituting the correct numbers,640 = 6n j + 4n k 480 = 6n j + 36n kSubtracting the second equation from the first yields160 = –32n k n k = –5Substituting –5 for n k in equation 2 gives a value for n j :480 = 6n j – 36(5)= 6n j – 180 660 = 6n j n j = 110Hence (n j = 110, n k = –5) is the optimum portfolio; in this case the investor buys 110 shares of Nova Nutrients and issues five shares of Galactic Steel.4. et n j = the number of shares the investor can buy if she buys only j, and n k the number she can buy ifshe buys only k. Then(a)00j k j k W W 1,2001,200n 120;n 100P 10P 12====== If she buys j: W 1 = n j Q j1 = 120(10) = $1,200 final wealth in state 1W 2 = n j Q j2 = 120(12) = $1,440 final wealth in state 2If she buys k: W 1 = n k Q k1 = 100(20) = $2,000 final wealth in state 1W 2 = n k Q k2 = 100(8) = $800 final wealth in state 2(b) For sales of j and purchases of k: If she sells –n j shares of j, she receives –n j P j , and with her initialwealth W 0 she will have –n j P j + W 0; with this she can buy at most (–n j P j + W 0)/P k shares of k which will return at least [(–n j P j + W 0)/P k ]Q k2; she must pay out at most –n j Q j2. Therefore, the minimum –n j is determined by:j j 0k2j j2kn P +W (Q ) =n Q P −−j jj j j 10n 1,200(8)12n 1220n 2,40036n n 150−+=−−+=−=−38 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth EditionFor sales of k and purchases of j: If she sells –n k shares of k, she receives –n k P k , and with her initialwealth W 0 she will have –n k P k + W 0; with this she can buy at most (–n k P k + W 0)/P j shares of j, which will return at least [(–n k P k + W 0)/P j ]Q j1; she must pay out at most –n k Q k1. Therefore, the minimum –n k is determined by:k k 0j1k k1j n P +W (Q )n Q P −=− −+=−k k 12n 1,200(10)20n 10=−k n 150Final wealth for sales of j and purchases of k:State 1: –150(10) + 225(20) = 3,000 State 2: –150(12) + 225(8) = 0Final wealth for sales of k and purchases of j:State 1: 300(10) – 150(20) = 0 State 2: 300(12) – 150(8) = 2,400(c) To find the price of pure securities, solve two equations for two unknowns as follows:10P 1 + 12P 2 = 10 20P 1 + 8P 2 = 12Multiplying the first equation by two, and subtracting the second equation from the first equation,20P 1 + 24P 2 = 20 1222[20P + 8P 12]16P 8 P .50−=== Substituting .50 for P 2 in equation 1,10P 1 + 12(.5) = 10P 1 = .40(d) The price of security i is given byP i = P 1Q i1 + P 2Q i2 = (.40)5 + (.50)12 = 2 + 6 = 8(e) (The state contingent payoffs of a portfolio invested exclusively in security i are plotted inFigure S4.2.)If the investor places all of her wealth in i, the number of shares she can buy is given by0i i W 1,200n =150P 8==Chapter 4 State Preference Theory 39Her wealth in state one would ben i Q i1 = 150(5) = $750Her wealth in state two would ben i Q i2 = 150(12) = $1,800If the investor sells k to purchase j, her wealth in state one will be zero. This portfolio plots as the W 2 intercept in Figure S4.2 on the following page. The W 1 intercept is the portfolio of j shares sold to buy k, resulting in zero wealth in state two.(f) Set the slope of the budget line equal to the slope of the utility curve in accordance with theequation below:2112W /W (U /W )(U /W )∂∂=∂∂÷∂∂Given utility function.6.412U W W =and substituting the correct numbers,.4.46.621221121W (.6W W )(.4W W )W 1.5W /W −−∂=÷∂=Figure S4.2 State payoffs for securities i, j, and k In equilibrium:dW 2/dW 1 = P 1/P 21.5W 2/W 1 = .4/.5 = 0.8 1.5W 2 = 0.8W 1 W 1 = 1.875W 240 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth EditionWealth constraint:W 0 = P 1W 1 + P 2W 2 1,200 = .4(1.875W 2) + .5W 2W 2 = 1,200/1.25 = 960 W 1 = 1.875(960) = 1,800Optimal portfolio: Solve the two simultaneous equations for the final wealth in each state:W 1 = n j Q j1 + n k Q k1 W 2 = n j Q j2 + n k Q k2Solve for n k and n j , the number of shares of each security to be purchased.Substituting the correct numbers,W 1 = 1,800 = 10n j + 20n k W 2 = 960 = 12n j + 8n kSolving equation one for n k in terms of n j , and substituting this value into equation two:20n k = 1,800 – 10n j n k = (1,800 – 10n j ) ÷ 20 960 = 12n j + 8 [(1,800 – 10n j ) ÷ 20] 4,800 = 60n j + 3,600 – 20n j 1,200 = 40n j n j = 30n k = (1,800 – 10nj)/20 n k = 75The investor should buy 30 shares of j and 75 shares of k.5. (a) If we know the maximum payout in each state, it will be possible to determine what an equalpayout will be. If the individual uses 100 percent of his wealth to buy security j, he can buy$72090$8= shares with payout S 1 = $900, S 2 = $1,800 If he spends $720 on security k, he can obtain$72080$9= shares with payout S 1 = $2,400, S 2 = $800 Since both of these payouts lie on the budget constraint (see Figure S4.3 on page 42), we can use them to determine its equation. The equation for the line isW 2 = a + bW 1Chapter 4 State Preference Theory 41Substituting in the values of the two points, which we have already determined, we obtain two equations with two unknowns, “a” and “b.”1,800 = a + b(900) –[800 = a + b(2,400)] 1,000 = b(–1,500) 1,0002b 1,5003−==− Therefore, the slope is 23− and the intercept is1,800 = a 23−(900) a = 2,400The maximum wealth in state two is $2,400. The maximum wealth in state one is0 = 2,400 23−W 1 3/2(2,400) = W 1 = $3,600A risk-free asset is one which has a constant payout, regardless of the state of nature which occurs. Therefore, we want to find the point along the budget line where W 2 = W 1. We now have two equations and two unknowns212W 2,400W 3=−(the budget constraint) W 2 = W 1 (equal payout)Substituting the second equation into the first, the payout of the risk-free asset is112W 2,400W 3=− 122,400W $1,440W 5/3=== If you buy n j shares of asset j and n k shares of k, your payout in states one and two will beState 1: n j 10 + n k 30 = 1,440 State 2: n j 20 + n k 10 = 1,440Multiplying the first equation by 2 and subtracting, we haven j 20 + n k 60 = 2,880 j k [n 20+n 101,440]−=k n 501,440=n k = 28.8and n j = 57.642 Copeland/Shastri/Weston • Financial Theory and Corporate Policy,Fourth EditionFigure S4.3 The budget constraint(b) The risk-free portfolio contains 57.6 shares of asset j and 28.8 shares of asset k. It costs $720 andreturns $1,440 for sure. Therefore, the risk-free rate of return isff f 1,4407201r 1,4401r 2720r 100%=++=== (c) It would be impossible to find a completely risk-free portfolio in a world with more states ofnature than assets (if all assets are risky). Any attempt to solve the problem would require solving for three unknowns with only two equations. No feasible solution exists. In general, it is necessary to have at least as many assets as states of nature in order for complete capital markets to exist. 6. We to solveMax[log C + 2/3 log Q 1 + 1/3 log Q 2] (4.1)subject toC + .6Q 1 + .4Q 2 = 50,000 (4.2)We can solve for C in (4.2) and substitute for C in (4.1).Max[log (50,000 – .6Q 1 – .4Q 2) + 2/3 log Q 1 + 1/3 log Q 2]Take the partial derivative with respect to Q 1 and set it equal to zero:121.62050,000.6Q .4Q 3Q −+=−−or 1.8Q 1 = 100,000 – 1.2Q 1 – .8Q 2 (4.3)Take the partial derivative with respect to Q 2 and set it equal to zero:122.41050,000.6Q .4Q 3Q −+=−−or 1.2Q 2 = 50,000 – .6Q 1 – .4Q 2 (4.4)Chapter 4 State Preference Theory 43 Together, (4.3) and (4.4) imply1.8Q1= 2.4Q2, or Q1= 1.3333Q2Substituting into (4.3) yields2.4Q2= 50,000Q2= 20,833.33hence Q1= 27,777.78(a) The risk-averse individual will purchase 27,777.78 units of pure security 1 at $0.60 each for a totalof $16,666.67; and 20,833.33 units of pure security 2 at $0.40 each for a total of $8,333.33. (b) From (4.2) and (4.4),C = 1.2Q2 = 25,000also from (4.2), C = $50,000 – $16,666.67 – $8,333.33= $25,000Hence, the investor divides his wealth equally between current and future consumption (which we would expect since the risk-free rate is zero and there is no discounting in the utility functions), but he buys more of pure security 1 (because its price per probability is lower) than of puresecurity 2.。

Copeland金融理论与公司政策习题答案03

Chapter 3The Theory of Choice: UtilityTheory Given Uncertainty1. The minimum set of conditions includes(a) The five axioms of cardinal utility• complete ordering and comparability • transitivity • strong independence • measurability • ranking(b) Individuals have positive marginal utility of wealth (greed).(c) The total utility of wealth increases at a decreasing rate (risk aversion); i.e., E[U(W)] < U[E(W)]. (d) The probability density function must be a normal (or two parameter) distribution.2. As shown in Figure3.6, a risk lover has positive marginal utility of wealth, MU(W) > 0, whichincreases with increasing wealth, dMU(W)/dW > 0. In order to know the shape of a risk-lover’s indifference curve, we need to know the marginal rate of substitution between return and risk. To do so, look at equation 3.19: U (E Z)Zf(Z)dZ dE d U (E Z)f(Z)dZ ′−+σ=σ′+σ∫∫(3.19) The denominator must be positive because marginal utility, U’ (E + σZ), is positive and because the frequency, f(Z), of any level of wealth is positive. In order to see that the integral in the numerator is positive, look at Figure S3.1 on the following page.The marginal utility of positive returns, +Z, is always higher than the marginal utility of equally likely (i.e., the same f(Z)) negative returns, −Z. Therefore, when all equally likely returns are multiplied by their marginal utilities, matched, and summed, the result must be positive. Since the integral in the numerator is preceded by a minus sign, the entire numerator is negative and the marginal rate of substitution between risk and return for a risk lover is negative. This leads to indifference curves like those shown in Figure S3.2.14 Copeland/Shastri/Weston • Financial Theory and Corporate Policy,Fourth EditionFigure S3.1Total utility of normally distributed returns for a risk loverFigure S3.2 Indifference curves of a risk lover3. (a)ln W 8.4967825E[U(W)].5ln(4,000).5ln(6,000).5(8.29405).5(8.699515)8.4967825e We $4,898.98W=+=+====Therefore, the individual would be indifferent between the gamble and $4,898.98 for sure. Thisamounts to a risk premium of $101.02. Therefore, he would not buy insurance for $125.(b) The second gamble, given his first loss, is $4,000 plus or minus $1,000. Its expected utility is=+=+====ln W 8.26178E[U(W)].5ln(3,000).5ln(5,000).5(8.006368).5(8.517193)8.26178e e $3,872.98WNow the individual would be willing to pay up to $127.02 for insurance. Since insurance costsonly $125, he will buy it.Chapter 3 The Theory of Choice: Utility Theory Given Uncertainty 154. Because $1,000 is a large change in wealth relative to $10,000, we can use the concept of risk aversionin the large (Markowitz). The expected utility of the gamble isE(U(9,000,11,000; .5)).5U(9,000).5U(11,000).5ln9,000.5ln11,000.5(9.10498).5(9.30565)4.55249 4.6528259.205315=+=+=+=+=The level of wealth which has the same utility isln W =9.205315W =e 9.205315=$9,949.87Therefore, the individual would be willing to pay up to$10,000 − 9,949.87 = $50.13 in order to avoid the risk involved in a fifty-fifty chance of winning or losing $1,000.If current wealth is $1,000,000, the expected utility of the gamble isE(U(999,000, 1,001,000; .5)).5ln 999,000.5ln1,001,000.5(13.81451).5(13.81651)13.81551=+=+=The level of wealth with the same utility is ln W =13.81551W =e 13.81551=$999,999.47Therefore, the individual would be willing to pay $1,000,000.00 − 999,999.47 = $0.53 to avoid the gamble.5. (a) The utility function is graphed in Figure S3.3.U(W)=−e −aW16 Copeland/Shastri/Weston • Financial Theory and Corporate Policy,Fourth EditionFigure S3.3 Negative exponential utility functionThe graph above assumes a = 1. For any other value of a > 0, the utility function will be amonotonic transformation of the above curve.(b) Marginal utility is the first derivative with respect to W.aW dU(W)U (W)(a)e 0dW−′==−−> Therefore, marginal utility is positive. This can also be seen in Figure S3.3 because the slope of a line tangent to the utility function is always positive, regardless of the level of wealth. Risk aversion is the rate of change in marginal utility.aW 2aW dMU(W)U (W)a(a)e a e 0dW−−′′==−=−< Therefore, the utility function is concave and it exhibits risk aversion.(c) Absolute risk aversion, as defined by Pratt-Arrow, is2aWaW U (W)ARA U (W)a e ARA a ae −−′′=−′−=−=Therefore, the function does not exhibit decreasing absolute risk aversion. Instead it has constant absolute risk aversion.(d) Relative risk aversion is equal toU (W)RRA W(ARA)WU (W)Wa′′==−′=Therefore, in this case relative risk aversion is not constant. It increases with wealth.Chapter 3 The Theory of Choice: Utility Theory Given Uncertainty 176. Friedman and Savage [1948] show that it is possible to explain both gambling and insurance if anindividual has a utility function such as that shown in Figure S3.4. The individual is risk averse todecreases in wealth because his utility function is concave below his current wealth. Therefore, he will be willing to buy insurance against losses. At the same time he will be willing to buy a lottery ticket which offers him a (small) probability of enormous gains in wealth because his utility function isconvex above his current wealth.Figure S3.4 Gambling and insurance7. We are given thatA >B >C >D Also, we know thatU(A) + U(D) = U(B) + U(C) Transposing, we have U(A) − U(B) = U(C) − U(D) (3.1) Assuming the individual is risk-averse, then 22U U 0 and 0W W∂∂><∂∂ (3.2) Therefore, from (1) and (2) we know that −−<−−U(A)U(B)U(C)U(D)A B C D(3.3) Using equation (3.1), equation (3.3) becomes11A B C DA B C DA D C B1111A D C B 22221111U (A)(D)U (C)(B)2222<−−−>−+>++>+ +>+In general, risk averse individuals will experience decreasing utility as the variance of outcomes increases, but the utility of (1/2)B + (1/2)C is the utility of an expected outcome, an average.18 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth Edition8. First, we have to compute the expected utility of the individual’s risk.i i E(U(W))p U(W ).1U(1).1U(50,000).8U(100,000).1(0).1(10.81978).8(11.51293)10.292322==++=++=∑ Next, what level of wealth would make him indifferent to the risk?10.292322ln W 10.292322W e W 29,505=== The maximum insurance premium isRisk premium = E (W) – certainty equivalent$85,000.1$29,505$55,495.1=−= 9. The utility function is U(W)=−W −1Therefore, the level of wealth corresponding to any utility isW = –(U(W))–1Therefore, the certainty equivalent wealth for a gamble of ±1,000 is W.−−−=−−++−−111W [.5((W 1,000)).5((W 1,000))]The point of indifference will occur where your current level of wealth, W, minus the certainty equivalent level of wealth for the gamble is just equal to the cost of the insurance, $500. Thus, we have the condition−= −−= −− + +−−−= − =−−+= −−+==2222W W 5001W 50011.5.5W 1,000W 1,0001W 500W W 1,000,000W 1,000,000W 500W W W 1,000,000500WW 2,000Chapter 3 The Theory of Choice: Utility Theory Given Uncertainty 19Therefore, if your current level of wealth is $2,000, you will be indifferent. Below that level of wealth you will pay for the insurance while for higher levels of wealth you will not.10. Table S3.1 shows the payoffs, expected payoffs, and utility of payoffs for n consecutive heads.Table S3.1Number of Consecutive Heads = N Probability = (1/2)n +1 Payoff = 2NE(Payoff) U(Payoff)E U(Payoff) 0 1/2 1 $.50 ln 1 = .000 .0001 1/42 .50 ln 2 = .693 .1732 1/8 4 .50 ln 4 = 1.386 .1733 1/16 8 .50 ln 8 = 2.079 .130N (1/2)N +1 2N .50 ln 2N = N ln 2 N ln 22+=0 The gamble has a .5 probability of ending after the first coin flip (i.e., no heads), a (.5)2probability of ending after the second flip (one head and one tail), and so on. The expected payoff of the gamble is the sum of the expected payoffs (column four), which is infinite. However, no one has ever paid an infinite amount to accept the gamble. The reason is that people are usually risk averse. Consequently, they would be willing to pay an amount whose utility is equal to the expected utility of the gamble. The expected utility of the gamble isN i 1i12i 0Ni 1122i 0N 12ii 0E(U)()ln 2E(U)()i ln 2i E(U) ln 22+======∑∑∑ Proof that i i 0i 22∞==∑follows: First, note that the infinite series can be partitioned as follows: ∞∞∞∞====+−−==+∑∑∑∑i i i i i 0i 0i 0i 0i 1i 11i 12222 Evaluating the first of the two terms in the above expression, we have∞==++++⋅⋅⋅∑1124i i 011182 =+=−1/21211/220 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth Edition Evaluating the second term, we havei i 0i 11234104816322∞=−=−++++++⋅⋅⋅∑ The above series can be expanded as−=−++++⋅⋅⋅=+++⋅⋅⋅=++⋅⋅⋅=+⋅⋅⋅=1 111111 48163221111 816324111 1632811 3216Therefore, we havei i 0i i 0i 111111248162i 11102∞=∞=−=−+++++⋅⋅⋅−=−+=∑∑ Adding the two terms, we have the desired proof thati i i i 0i 0i 0i 1i 1202222∞∞∞===−=+=+=∑∑∑ Consequently, we have=====∑∑NN i i i 0i 0i i E(U) 1/2ln2 ln2, since 222 If the expected utility of wealth is ln2, the corresponding level of wealth isln2U(W)ln2e W $2===Therefore, an individual with a logarithmic utility function will pay $2 for the gamble.11. (a) First calculate AVL from the insurer’s viewpoint, since the insurer sets the premiums.AVL 1 ($30,000 insurance)=0(.98)+5,000(.01)+10,000(.005)+30,000(.005)=$250AVL 2 ($40,000 insurance)=0(.98)+5,000(.01)+10,000(.005)+40,000(.005)=$300AVL 3 ($50,000 insurance)=0(.98)+5,000(.01)+10,000(.005)+50,000(.005)=$350Chapter 3 The Theory of Choice: Utility Theory Given Uncertainty 21We can now calculate the premium for each amount of coverage:Amount of Insurance Premium$30,000 30 + 250 = $280$40,000 27 + 300 = $327$50,000 24 + 350 = $374Next, calculate the insuree’s ending wealth and utility of wealth in all contingencies (states). Assume he earns 7 percent on savings and that premiums are paid at the beginning of the year. The utility of each ending wealth can be found from the utility function U(W) = ln W. (See Table S3.2a.)Finally, find the expected utility of wealth for each amount of insurance,i i i E(U(W))P U(W )=∑and choose the amount of insurance which yields the highest expected utility.Table S3.2a Contingency Values Of Wealth And Utility of Wealth (Savings = $20,000) End-of-Period Wealth (in $10,000’s) Utility ofWealthU(W) = ln WWith no insuranceNo loss (P = .98) 5 + 2(1.07) = 7.141.9657 $5,000 loss (P = .01) 5 +2.14 − .5 = 6.641.8931 $10,000 loss (P = .005) 5 +2.14 − 1.0 = 6.141.8148 $50,000 loss (P = .005) 5 +2.14 − 5.0 = 2.140.7608 With $30,000 insuranceNo loss (P = .995) 5 + 2.14 − .0280(1.07) ≅ 7.111.9615 $20,000 loss (P = .005) 5 +2.14 − .03 − 2 ≅ 5.111.6312 With $40,000 insuranceNo loss (P = .995) 5 + 2.14 − .0327(1.07) ≅ 7.1051.9608 $10,000 loss (P = .005) 5 +2.14 − .035 − 1.0 ≅ 6.1051.8091 With $50,000 insuranceNo loss (P = 1.0) 5 + 2.14 − .0374(1.07) ≅ 7.10 1.9601 With no Insurance: E(U(W)) = 1.9657(.98) + 1.8931(.01) + 1.8148(.005)+ 0.7608(.005)= 1.9582With $30,000 insurance: E(U(W)) = 1.9615(.995) + 1.6312(.005)= 1.9598With $40,000 insurance: E(U(W)) = 1.9608(.995) + 1.8091(.005)= 1.9600With $50,000 insurance: E(U(W)) = 1.9601Therefore, the optimal insurance for Mr. Casadesus is $50,000, given his utility function.22 Copeland/Shastri/Weston • Financial Theory and Corporate Policy, Fourth EditionTable S3.2b Contingency Values of Wealth and Utility of Wealth(Savings = $320,000)End-of-Period Wealth (in $10,000’s)Utility ofWealthU(W) = ln W (Wealth in $100,000’s)With no insuranceNo loss (P = .98) 5 + 32.00(1.07) = 39.24 1.3671$5,000 loss (P = .01) 5 + 34.24 − .5 = 38.74 1.3543$10,000 loss (P = .005) 5 + 34.24 − 1.0 = 38.24 1.3413$50,000 loss (P = .005) 5 + 34.24 − 5.0 = 34.24 1.2308 With $30,000 insuranceNo loss (P = .995) 5 + 34.24 − .028(1.07) ≅ 39.21 1.3663$20,000 loss (P = .005) 5 + 34.24 − .03 − 2 ≅ 37.21 1.3140 With $40,000 insuranceNo loss (P = .995) 5 + 34.24 − .0327(1.07) ≅ 39.205 1.3662$10,000 loss (P = .005) 5 + 34.24 − .035 − 1.0 ≅ 38.205 1.3404 With $50,000 insuranceNo loss (P = 1.0) 5 + 34.24 − .0374(1.07) ≅ 39.20 1.3661(b) Follow the same procedure as in part a), only with $320,000 in savings instead of $20,000. (SeeTable S3.2b above for these calculations.)With no Insurance: E(U(W)) = .98(1.3671) + .01(1.3543)+ .005(1.3413) + .005(1.2308)= 1.366162With $30,000 insurance: E(U(W)) = .995(1.3663) + .005 (1.3140)= 1.366038With $40,000 insurance: E(U(W)) = .995(1.3662) + .005(1.3404)= 1.366071With $50,000 insurance: E(U(W)) = (1)1.366092 = 1.366092The optimal amount of insurance in this case is no insurance at all. Although the numbers are close with logarithmic utility, the analysis illustrates that a relatively wealthy individual may choose no insurance, while a less wealthy individual may choose maximum coverage.(c) The end-of-period wealth for all contingencies has been calculated in part a), so we can calculatethe expected utilities for each amount of insurance directly.With no insurance:E (U(W)) = .98(U(71.4)) + .01(U(66.4)) + .005(U(61.4)) + .005U(21.4)= –.98(200/71.4) – .01(200/66.4) – .005(200/61.4) – .005(200/21.4)= –2.745 – .030 – .016 – .047= –2.838With $30,000 insurance:E(U(W)) = .995(U(71.1)) + .005(U(51.1))= – .995 (200/71.1) – .005(200/51.1)= –2.799 – .020= –2.819With $40,000 insurance:E(U(W)) = .995(U(71.05) + .005(U(61.05))= – .995(200/71.05) – .005(200/61.05)= –2.8008 – .0164= –2.8172With $50,000 insurance:E(U(W)) = (1)( −200/71) = −2.8169Hence, with this utility function, Mr. Casadesus would renew his policy for $50,000.Properties of this utility function, U(W) = −200,000W −1:=>′=−<′−==>∂=−<∂==>∂=∂-2W -3W -1W W -2MU 200,000W 0 nonsatiationMU 400,000W 0 risk aversionMU ARA 2W 0MU ARA 2W 0 decreasing absolute risk aversion WRRA W(ARA)20RRA 0 Wconstant relative risk aversion Since the individual has decreasing absolute risk aversion, as his savings account is increased he prefers to bear greater and greater amounts of risk. Eventually, once his wealth is large enough, he would prefer not to take out any insurance. To see this, make his savings account = $400,000.12. Because returns are normally distributed, the mean and variance are the only relevant parameters.Case 1(a) Second order dominance—B dominates A because it has lower variance and the same mean. (b) First order dominance—There is no dominance because the cumulative probability functionscross.Case 2(a) Second order dominance—A dominates B because it has a higher mean while they both have thesame variance.(b) First order dominance—A dominates B because its cumulative probability is less than that of B. Itlies to the right of B.Case 3(a) Second order dominance—There is no dominance because although A has a lower variance it alsohas a lower mean.(b) First order dominance—Given normal distributions, it is not possible for B to dominate Aaccording to the first order criterion. Figure S3.5 shows an example.Figure S3.5 First order dominance not possible13. (a)Prob X X pi XiXi− E(X) pi(Xi− E(X))2.1 −10 −1.0 −16.4 .1(268.96)= 26.896 .4 5 2.0 −1.4 .4(1.96) = .784 .3 10 3.0 3.6 .3(12.96) = 3.888 .2 12 2.4 5.6 .2(31.36) = 6.272 E(X)= 6.4 var (X) = 37.840Prob Y Y pi YiYi− E(Y) pi(Yi− E(Y))2.2 2 .4 −3.7 .2(13.69) = 2.738.531.5 −2.7 .5(7.29) =3.645.2 4 .8 −1.7 .2(2.89) = .578.1 303.0 24.3 .1(590.49) = 59.049E(Y) = 5.7 var(Y) = 66.010 X is clearly preferred by any risk averse individual whose utility function is based on mean and variance, because X has a higher mean and a lower variance than Y, as shown in Figure S3.6. (b) Second order stochastic dominance may be tested as shown in Table S3.3 on the following page.Because Σ(F − G) is not less than (or greater than) zero for all outcomes, there is no second order dominance.Table S3.3Outcome Prob(X) Prob(Y) Σ Px = F Σ Py= G F − G Σ (F − G)−10 .1 0 .1 0 .1 .1−9 0 0 .1 0 .1 .2−8 0 0 .1 0 .1 .3−7 0 0 .1 0 .1 .4−6 0 0 .1 0 .1 .5−5 0 0 .1 0 .1 .6−4 0 0 .1 0 .1 .7−3 0 0 .1 0 .1 .8−2 0 0 .1 0 .1 .9−1 0 0 .1 0 .1 1.00 0 0 .1 0 .1 1.11 0 0 .1 0 .1 1.22 0 .2 .1 .2 −.1 1.13 0 .5 .1 .7 −.6 .54 0 .2 .1 .9 −.8 −.35 .4 0 .5 .9 −.4 −.76 0 0 .5 .9 −.4 –1.17 0 0 .5 .9 −.4 −1.58 0 0 .5 .9 −.4 –1.99 0 0 .5 .9 −.4 –2.310 .3 0 .8 .9 −.1 –2.411 0 0 .8 .9 −.1 –2.512 .2 0 1.0 .9 .1 –2.413 0 0 1.0 .9 .1 –2.314 0 0 1.0 .9 .1 –2.215 0 0 1.0 .9 .1 −2.116 0 0 1.0 .9 .1 –1.917 0 0 1.0 .9 .1 –1.818 0 0 1.0 .9 .1 –1.719 0 0 1.0 .9 .1 –1.620 0 0 1.0 .9 .1 –1.521 0 0 1.0 .9 .1 –1.422 0 0 1.0 .9 .1 –1.323 0 0 1.0 .9 .1 –1.224 0 0 1.0 .9 .1 –1.125 0 0 1.0 .9 .1 –1.026 0 0 1.0 .9 .1 –.927 0 0 1.0 .9 .1 –.828 0 0 1.0 .9 .1 –.729 0 0 1.0 .9 .1 –.630 0 .1 1.0 1.0 0 –.61.0 1.0Because Σ (F − G) is not less than (or greater than) zero for all outcomes, there is no second order dominance.Figure S3.6 Asset X is preferred by mean-variance risk averters14. (a) Table S3.4 shows the calculations.Table S3.4p i Co. A Co. B p i A i p i [A − E(A)]2 p i B i p i [B − E(B)]2.1 0 −.50 0 .144 −.05 .4000 .2 .50 −.25 .10 .098 −.05 .6125 .4 1.00 1.50 .40 .016 .60 0.2 2.00 3.00 .40 .128 .60 .4500.1 3.00 4.00 .30 .324 .40 .62501.20 .710 1.502.0875=σ==σ=A B E(A) 1.20, .84E(B) 1.50, 1.44(b) Figure S3.7 shows that a risk averse investor with indifference curves like #1 will prefer A, whilea less risk averse investor (#2) will prefer B, which has higher return and higher variance.Figure S3.7 Risk-return tradeoffs (c) The second order dominance criterion is calculated in Table S3.5 on the following page.15. (a) False. Compare the normally distributed variables in Figure S3.8 below. Using second orderstochastic dominance, A dominates B because they have the same mean, but A has lower variance. But there is no first order stochastic dominance because they have the same mean and hence thecumulative probability distributions cross.Figure S3.8 First order stochastic dominance does not obtain (b) False. Consider the following counterexample.Table S3.5 (Problem 3.14) Second Order Stochastic DominanceReturn Prob(A) Prob(B) F(A) G(B) F − G Σ (F − G) −.50 0 .1 0 .1−.1 −.1−.25 0 .2 0 .3−.3 −.40 .1 0 .1 .3−.2 −.6.25 0 0 .1 .3−.2 −.8.50 .2 0 .3 .3 0 −.8.75 0 0 .3 .3 0 −.81.00 .4 0 .7 .3 .4 −.41.25 0 0 .7 .3 .4 01.50 0 .4 .7 .7 0 01.75 0 0 .7 .7 0 02.00 .2 0 .9 .7 .2 .22.25 0 0 .9 .7 .2 .42.50 0 0 .9 .7 .2 .62.75 0 0 .9 .7 .2 .83.00 .1 .2 1.0 .9 .1 .9 3.25 0 0 1.0 .9 .1 1.0 3.50 0 0 1.0 .9 .1 1.13.75 0 0 1.0 .9 .1 1.24.00 0 .1 1.0 1.0 0 1.21.0 1.0Because Σ (F − G) is not always the same sign for every return, there is no second order stochastic dominance in this case.Payoff Prob (A) Prob (B) F (A) G (B) G (B) − F(A)$1 0 .3 0 .3 .3$2 .5 .1 .5 .4 −.1$3 .5 .31.0 .7 −.3$4 0 .31.0 1.0 01.0 1.0E(A) = $2.50, var(A) = $.25 squaredE(B) = $2.60, var(B) = $1.44 squaredThe cumulative probability distributions cross, and there is no first order dominance.(c) False. A risk neutral investor has a linear utility function; hence he will always choose the set ofreturns which has the highest mean.(d) True. Utility functions which have positive marginal utility and risk aversion are concave. Secondorder stochastic dominance is equivalent to maximizing expected utility for risk averse investors.16. From the point of view of shareholders, their payoffs areProject 1 Project 2Probability Payoff Probability Payoff.2 0 .4 0.6 0 .2 0.2 0 .4 2,000Using either first order or second order stochastic dominance, Project 2 clearly dominatesProject 1.If there were not limited liability, shareholder payoffs would be the following:Project 1 Project 2Probability Payoff Probability Payoff.2 −4000 .4 −8000.6 −3000 .2 −3000.2 −2000 .4 2,000In this case shareholders would be obligated to make debt payments from their personal wealthwhen corporate funds are inadequate, and project 2 is no longer stochastically dominant.17. (a) The first widow is assumed to maximize expected utility, but her tastes for risk are not clear.Hence, first order stochastic dominance is the appropriate selection criterion.E(A) = 6.2 E(D) = 6.2E(B) = 6.0 E(E) = 6.2E(C) = 6.0 E(F) = 6.1One property of FSD is that E(X) > E(Y) if X is to dominate Y. Therefore, the only trusts which might be inferior by FSD are B, C, and F. The second property of FSD is a cumulative probability F(X) that never crosses but is at least sometimes to the right of G(Y). As Figure S3.9 shows, A >C andD > F, so the feasible set of trusts for investment is A, B, D, E.Figure S3.9 First order stochastic dominance(b) The second widow is clearly risk averse, so second order stochastic dominance is the appropriateselection criterion. Since C and F are eliminated by FSD, they are also inferior by SSD. The pairwise comparisons of the remaining four funds, Σ(F(X) − G(Y)) are presented in Table S3.6 on the following page and graphed in Figure S3.10. If the sum of cumulative differences crosses the horizontal axis, as in the comparison of B and D, there is no second order stochastic dominance. By SSD, E > A, E > B, and E > D, so the optimal investment is E.Table S3.6 Second Order Stochastic DominanceRet. P(A)* P(B) P(D) P(E) SSD**(BA)SSD(DA)SSD(EA)SSD(DB)SSD(EB)SSD(ED)−2 −.1 −.1−1 0 .1 .2 0 .2 .2 0 0 −.2 −.20 0 .2 .2 0 .4 .4 0 0 −.4 −.41 0 .3 .2 0 .7 .6 0 −.1 −.7 −.62 0 .3 .4 0 1.0 1.0 0 0 −1.0 −1.03 0 .4 .4 0 1.4 1.4 0 0 −1.4 −1.44 0 .5 .4 0 1.9 1.8 0 −.1 −1.9 −1.85 .4 .5 .4 .4 2.0 1.8 0 −.2 −2.0 −1.86 .6 .5 .5 .4 1.9 1.7 −.2 −.2 −2.1 −1.97 .8 .5 .6 1.0 1.6 1.5 0 −.1 −1.6 −1.58 1.0 .6 .6 1.0 1.2 1.1 0 −.1 −1.2 −1.19 1.0 .6 .7 1.0 .8 .8 0 0 −.8 −.810 1.0 .7 .8 1.0 .5 .6 0 .1 −.5 −.611 1.0 .8 .8 1.0 .3 .4 0 .1 −.3 −.412 1.0 .9 .8 1.0 .2 .2 0 0 −.2 −.213 1.0 1.0 .8 1.0 .2 0 0 −.2 −.2 014 1.0 1.0 1.0 1.0 .2 0 0 −.2 −.2 0A >B A > D A < E no2ndorderdominance B < ED< E** SSD calculated according to Σ (F(X) − G(Y)) where F(X) = cumulative probability of X and G(Y) = cumulative probability of Y.18. (a) Mean-variance ranking may not be appropriate because we do not know that the trust returns havea two-parameter distribution (e.g., normal).To dominate Y, X must have higher or equal mean and lower variance than Y, or higher mean and lower or equal variance. Means and variances of the six portfolios are shown in Table S3.7. Bymean-variance criteria, E > A, B, C, D, F and A > B, C, D, F. The next in rank cannot bedetermined. D has the highest mean of the four remaining trusts, but also the highest variance. The only other unambiguous dominance is C > B.Figure S3.10 Second order stochastic dominanceTable S3.7E(X) var(X)B 6.0 26.80C 6.0 2.00D 6.2 28.36E 6.2 0.96F 6.1 26.89(b) Mean-variance ranking and SSD both select trust E as optimal. However, the rankings ofsuboptimal portfolios are not consistent across the two selection procedures.Optimal Dominance R elationshipsFSD A, B, D, E A > C, D > FSSD E A > B, A > DM-V E A > B, C, D, F; C > B。

国际金融学试题及参考答案(3)

国际金融学试题及参考答案(3)一、选择题（每题2分，共20分）1. 以下哪一项不是国际货币基金组织（IMF）的主要职能？A. 监测全球经济B. 提供技术援助C. 提供国际贷款D. 制定国际经济政策2. 以下哪种汇率制度属于固定汇率制度？A. 浮动汇率制度B. 管制汇率制度C. 联系汇率制度D. 市场汇率制度3. 以下哪个因素不会影响国际资本流动？A. 实际利率差异B. 汇率变动C. 政策干预D. 贸易顺差4. 以下哪个国家不属于金砖国家（BRICS）？A. 巴西B. 俄罗斯C. 德国D. 印度5. 以下哪个国际金融机构主要负责全球贸易融资？A. 国际货币基金组织（IMF）B. 世界银行C. 国际清算银行（BIS）D. 国际金融公司（IFC）二、简答题（每题10分，共30分）1. 简述国际收支平衡表的主要组成部分。

2. 简述国际货币基金组织（IMF）的宗旨和主要职能。

3. 简述国际资本流动的主要类型及影响。

三、论述题（每题25分，共50分）1. 论述国际金融市场的形成与发展及其对世界经济的影响。

2. 论述我国外汇储备管理的现状、问题及对策。

二、参考答案一、选择题1. D2. C3. D4. C5. D二、简答题1. 国际收支平衡表的主要组成部分：（1）经常账户：包括商品、服务、收入和转移支付等交易。

（2）资本和金融账户：包括直接投资、证券投资、其他投资和储备资产等。

（3）错误和遗漏：由于统计误差等原因导致的国际收支不平衡。

2. 国际货币基金组织（IMF）的宗旨和主要职能：宗旨：促进国际货币合作，稳定汇率，实现成员国经济稳定增长。

主要职能：监督全球经济发展，提供技术援助，提供国际贷款，制定国际经济政策。

3. 国际资本流动的主要类型及影响：类型：直接投资、证券投资、其他投资（如银行贷款、债券发行等）。

影响：国际资本流动可以促进资源优化配置，提高全球经济增长速度；但同时也可能引发金融市场动荡，加剧国际金融市场的不稳定性。

国际金融学试题及答案

国际金融学试题及答案一、选择题（每题3分，共30分）1. 以下哪项不是国际金融市场的主要功能？A. 资金的调拨与结算B. 促进国际贸易的发展C. 提供投资与融资服务D. 提高消费者福利答案：D2. 以下哪个国家不属于“金砖国家”（BRICS）？A. 巴西B. 俄罗斯C. 印度D. 加拿大答案：D3. 以下哪个货币不是国际储备货币？A. 美元B. 欧元C. 英镑D. 人民币答案：D4. 以下哪个组织不属于国际金融机构？A. 国际货币基金组织（IMF）B. 世界银行C. 国际清算银行（BIS）D. 联合国答案：D5. 以下哪个因素不会影响汇率？A. 国际收支状况B. 利率政策C. 通货膨胀率D. 消费者偏好答案：D6. 以下哪个国家是全球最大的外汇储备国？A. 中国B. 日本C. 德国D. 美国答案：A7. 以下哪个金融工具不属于金融衍生品？A. 远期合约B. 期货合约C. 期权合约D. 银行存款答案：D8. 以下哪个国家是全球最大的股票市场？A. 美国B. 中国C. 日本D. 英国答案：A9. 以下哪个因素不是影响国际资本流动的主要因素？A. 实际利率差异B. 汇率波动C. 政策因素D. 投资者情绪答案：D10. 以下哪个组织负责制定国际金融监管规则？A. 国际货币基金组织（IMF）B. 巴塞尔委员会C. 国际清算银行（BIS）D. 世界银行答案：B二、简答题（每题10分，共30分）1. 简述国际金融市场的作用。

答：国际金融市场的作用主要有以下几点：（1）为各国政府、企业和个人提供资金融通和投资渠道。

（2）促进国际贸易和跨国投资的发展。

（3）提高金融资源配置效率。

（4）降低金融风险。

2. 简述汇率变动对经济的影响。

答：汇率变动对经济的影响主要有以下几点：（1）影响国际贸易收支。

（2）影响国内物价水平。

（3）影响国际资本流动。

（4）影响国内产出和就业。

3. 简述国际货币基金组织（IMF）的主要职能。

公司金融朱叶考试题及答案

公司金融朱叶考试题及答案一、单项选择题（每题2分，共20分）1. 公司金融中，公司的目标是（）。

A. 利润最大化B. 股东财富最大化C. 销售收入最大化D. 市场份额最大化答案：B2. 根据现代金融理论，公司价值与资本成本之间的关系是（）。

A. 正相关B. 负相关C. 无关D. 先正后负答案：B3. 在资本预算中，净现值（NPV）法的主要优点是（）。

A. 考虑了时间价值B. 考虑了风险C. 容易理解D. 可以比较不同规模的项目答案：D4. 公司进行资本结构决策时，不考虑的因素是（）。

A. 债务融资成本B. 股权融资成本C. 公司所得税率D. 公司规模答案：D5. 以下哪项不是公司进行股利政策决策时需要考虑的因素？（）A. 公司的盈利能力B. 公司的投资机会C. 公司的债务水平D. 公司的行业地位答案：D6. 以下哪项不是影响公司资本成本的因素？（）A. 无风险利率B. 市场风险溢价C. 公司的财务杠杆D. 公司的行业地位答案：D7. 根据莫迪利亚尼-米勒定理，在没有税收的情况下，公司的资本结构对公司价值没有影响。

该定理成立的条件不包括（）。

A. 没有破产成本B. 没有交易成本C. 没有代理成本D. 公司可以无限期地以相同的利率借款答案：D8. 以下哪项不是公司进行财务风险管理的目的？（）A. 降低财务风险B. 提高公司价值C. 增加股东财富D. 减少公司利润答案：D9. 以下哪项不是公司进行跨国经营时需要考虑的因素？（）A. 汇率风险B. 政治风险C. 法律风险D. 公司的市场份额答案：D10. 以下哪项不是公司进行并购时需要考虑的因素？（）A. 并购的协同效应B. 并购的支付方式C. 并购后的整合D. 并购的行业地位答案：D二、多项选择题（每题3分，共15分）1. 公司进行资本预算时，以下哪些因素需要考虑？（）A. 项目的初始投资B. 项目的现金流C. 项目的资本成本D. 项目的规模答案：ABC2. 以下哪些因素会影响公司的资本成本？（）A. 公司的财务杠杆B. 公司的盈利能力C. 公司的信用等级D. 公司的行业地位答案：ABC3. 公司进行股利政策决策时，需要考虑的因素包括哪些？（）A. 公司的盈利能力B. 公司的投资机会C. 公司的债务水平D. 股东的偏好答案：ABCD4. 以下哪些因素会影响公司的资本结构？（）A. 公司的所得税率B. 公司的财务风险C. 公司的行业特性D. 公司的规模答案：ABC5. 公司进行跨国经营时，需要考虑的风险包括哪些？（）A. 汇率风险B. 政治风险C. 法律风险D. 经济风险答案：ABCD三、判断题（每题2分，共20分）1. 公司金融的目标是利润最大化。

《金融理论与公司政策(第四版)》课后答案

300 = 3,000 .1 350 NPV (cost cutting perpetuity) = = 3,500 .1 NPV (sale) = $11,000
Chapter 13
The Role of the CFO, Performance Measurement, and Incentive Design
4. EPS (earnings per share) and the growth in EPS are uncorrelated with the total return to shareholders because they ignore balance sheet information and because they fail to capture the changes in expectations that drive TRS. EVA and the change in EVA contain information about earnings, invested capital and the cost of capital, but omit expectations. Consequently, they also have a very low correlation with TRS. 5. The facts are summarized in Table S13.5. Let’s assume that ROIC is after tax. Table S13.5 Announced Capital $5 million $30 million $5 million $30 million Announced ROIC 30% 40% 30% 40% Revised ROIC 30% 30% 30% 10% Expected EBIT Announced Revised $1.5 million $1.5 million $12.0 million $9.0 million $13.5 million $10.5 million 1.5 million 1.5 million 12.0 million 3.0 million $13.5 million $4.5 million

金融考研试题及答案解析

金融考研试题及答案解析一、单项选择题（每题2分，共20分）1. 以下哪项是金融市场的基本功能？A. 风险管理B. 资产评估C. 价格发现D. 信用评级答案：A2. 货币市场和资本市场的主要区别是什么？A. 期限B. 利率C. 交易规模D. 交易方式答案：A3. 以下哪项不是货币政策工具？A. 公开市场操作B. 存款准备金率C. 利率D. 外汇储备答案：D4. 根据有效市场假说，以下哪项信息对股票价格没有影响？A. 历史价格B. 宏观经济数据C. 公司财报D. 市场情绪答案：A5. 在金融工程中，以下哪项不是衍生品？A. 期货B. 期权C. 债券D. 掉期答案：C6. 以下哪项不是金融监管的主要目的？A. 保护投资者利益B. 维护市场稳定C. 促进市场创新D. 防范金融风险答案：C7. 以下哪项不是公司金融的主要研究领域？A. 资本结构B. 投资决策C. 风险管理D. 货币政策答案：D8. 以下哪项是金融市场的直接融资方式？A. 银行贷款B. 发行股票C. 发行债券D. 融资租赁答案：B9. 以下哪项是金融风险管理的主要工具？A. 资产负债管理B. 资产评估C. 信用评级D. 风险定价答案：A10. 以下哪项不是金融创新的驱动因素？A. 技术进步B. 监管环境C. 市场竞争D. 利率固定答案：D二、多项选择题（每题3分，共15分）1. 以下哪些因素会影响货币供应量？A. 基础货币B. 法定存款准备金率C. 外汇储备D. 利率答案：A, B, C2. 以下哪些是金融市场的参与者？A. 政府B. 企业C. 个人D. 银行答案：A, B, C, D3. 以下哪些属于金融市场的中介机构？A. 银行B. 保险公司C. 证券公司D. 基金公司答案：A, B, C, D4. 以下哪些是金融监管的基本原则？A. 公平性B. 透明度C. 稳定性D. 灵活性答案：A, B, C5. 以下哪些是金融创新的表现形式？A. 金融产品创新B. 金融工具创新C. 金融服务创新D. 金融制度创新答案：A, B, C, D三、简答题（每题5分，共20分）1. 简述金融市场的功能。

国际金融习题含答案

国际金融习题含答案一、选择题1. 以下哪项不是国际货币基金组织（IMF）的主要职能？A. 监测全球经济趋势B. 提供技术援助C. 为成员国提供短期资本流动支持D. 制定国际金融法规答案：D解析：国际货币基金组织（IMF）的主要职能包括监测全球经济趋势、提供技术援助以及为成员国提供短期资本流动支持，而不包括制定国际金融法规。

2. 以下哪个国家的货币不属于欧元区？A. 法国B. 德国C. 英国D. 荷兰答案：C解析：欧元区是指使用欧元作为官方货币的国家组成的区域，法国、德国和荷兰都属于欧元区，而英国并未加入欧元区。

3. 以下哪个汇率制度属于固定汇率制度？A. 浮动汇率制度B. 管制汇率制度C. 联系汇率制度D. 黑市汇率制度答案：C解析：联系汇率制度是一种固定汇率制度，它将一国货币与另一国货币挂钩，保持固定汇率。

而浮动汇率制度、管制汇率制度和黑市汇率制度均不属于固定汇率制度。

二、填空题1. 国际金融市场上的主要金融工具包括______、______、______和______。

答案：股票、债券、期货和期权解析：国际金融市场上的主要金融工具包括股票、债券、期货和期权，这些金融工具是投资者进行投资和风险管理的重要手段。

2. 国际收支平衡表包括______和______两大组成部分。

答案：经常账户和资本账户解析：国际收支平衡表是反映一个国家与其他国家在一定时期内经济交易情况的报表，它包括经常账户和资本账户两大组成部分。

三、判断题1. 国际货币基金组织（IMF）的主要职能是为成员国提供短期资本流动支持。

（）答案：正确解析：国际货币基金组织（IMF）的主要职能之一是为成员国提供短期资本流动支持，以应对国际收支失衡问题。

2. 欧元区的成立有助于降低成员国之间的贸易壁垒。

（）答案：正确解析：欧元区的成立使得成员国之间使用统一的货币，这有助于降低贸易壁垒，促进成员国之间的贸易往来。

四、简答题1. 简述外汇市场的功能。

国际金融习题答案全(实用应用文)

国际金融习题答案全(实用应用文)一、填空题1. 国际金融市场的核心是（国际金融市场）2. 国际收支平衡表中的经常账户主要包括（货物、服务、收入、转移支付）3. 汇率决定理论中的购买力平价理论认为，两国货币的汇率取决于（两国的价格水平）4. 货币政策的三大工具是（公开市场操作、再贴现率、法定存款准备金率）5. 国际货币基金组织的宗旨是（促进国际货币合作，实现汇率稳定，提供资金支持，协助成员国解决支付平衡问题）答案：1. 国际金融市场；2. 货物、服务、收入、转移支付；3. 两国的价格水平；4. 公开市场操作、再贴现率、法定存款准备金率；5. 促进国际货币合作，实现汇率稳定，提供资金支持，协助成员国解决支付平衡问题。

二、选择题1. 以下哪个因素不会影响汇率的变动（A. 利率变动 B. 政府干预 C. 通货膨胀 D. 文化差异）答案：D. 文化差异2. 以下哪个国家采用固定汇率制度（A. 美国 B. 英国 C. 德国 D. 中国）答案：D. 中国3. 以下哪个国际金融机构主要负责提供长期贷款（A. 国际货币基金组织 B. 世界银行 C. 国际清算银行 D. 亚洲开发银行）答案：B. 世界银行4. 以下哪个国家不属于金砖国家（A. 巴西 B. 俄罗斯 C. 印度 D. 加拿大）答案：D. 加拿大5. 以下哪个国家采用通货膨胀目标制度（A. 美国B. 德国C. 日本D. 英国）答案：D. 英国三、判断题1. 国际金融市场是指全球范围内的金融市场，包括外汇市场、债券市场、股票市场等。

（正确）2. 浮动汇率制度下，汇率完全由市场供求关系决定，政府不进行任何干预。

（错误）3. 国际货币基金组织成立于1945年，总部设在美国纽约。

（错误）4. 汇率上升，本币贬值，有利于出口，不利于进口。

（正确）5. 通货膨胀目标制度是一种以控制通货膨胀率为主要目标的货币政策框架。

（正确）四、简答题1. 简述国际收支平衡表的主要内容。

金融学复习题(附参考答案)

金融学复习题（附参考答案）一、单选题（共41题，每题1分，共41分）1.凯恩斯的“有效需求不足”通货紧缩理论认为,有效需求不足表现为消费需求和投资需求不足两方面。

导致投资需求不足的原因是( )A、生产结构失调B、资本边际效率递增C、流动性偏好D、边际消费倾向递增正确答案：C2.从长期讲,影响一国货币币值的因素是( )。

A、国际收支状况B、通货膨胀C、经济实力D、利率高低正确答案：C3.( )的货币数量论认为,货币需求仅仅是收入的函数,利率对货币需求没有影响A、Friedman’sB、Tobin’sC、Fisher’sD、Keynes’s正确答案：C4.以下( )属于弗里德曼的货币数量说。

A、“恒久性收入”概念是一个不包括人力资本在内的纯物质化的概念B、利率是货币需求的重要决定因素C、影响货币需求的主要因素是恒久性收入D、人们资产选择的原则是风险分散程度正确答案：C5.两家以上商业银行受控于同一个人或同一集团但又不以股权公司的形式出现的制度,称为( )A、总分行制B、代理银行制C、银行控股公司制D、连锁银行制正确答案：D6.被称为能与通货膨胀“和平共处”的适应性政策是( )A、公开市场业务B、以税收为基础的收入政策C、改善供给政策D、收入指数化政策正确答案：D7.通常情况下,安全性.流动性与收益性三者关系正确的有( )A、证券的安全性与流动性呈正相关,与收益性负相关B、证券的安全性与流动性呈负相关,与收益性正相关C、证券的安全性与流动性正相关,与收益性正相关D、证券的安全性与流动性负相关,与收益性负相关正确答案：A8.大额可转让存单最早产生于20世纪60年代的( )A、英国B、德国C、法国D、美国正确答案：D9.银行持有的流动性很强的短期有价证券是商业银行经营中的( )A、第四道防线B、第三道防线C、第一道防线D、第二道防线正确答案：D10.根据凯恩斯流动性偏好理论,当预期利率上升时,人们就会( )。

金融理论与公司政策(第四版)

金融理论与公司政策（第四版）
20xx年中国人民大学出版社出版的图书
01 推荐
03 作者简介
目录
02 内容简介 04 目录
《金融理论与公司政策（第四版）》是2012年08月中国人民大学出版社出版的图书，作者是(美)科普兰。
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推荐
托马斯·E·科普兰、J·弗雷德·韦斯顿、库尔迪普·夏斯特里所著的《金融理论与公司政策(第四版)》一书将金融理论、经验证据和公司实践融为一体，从一个独特的视角准确阐述了现代金融学的主要内容，向读者展示了金融学和公司财务学的前沿研究成果和广阔发展前景。该书问世以来，内容不断拓展更新，已出版至第四版，成为世界公认的金融学经典著作。该书不仅在美国颇受青睐，还被翻译为德语和葡萄牙语等，被亚欧很多高校选定为金融学博士教育及MBA教育的重要教科书，深受学者及金融实务界人士的欢迎。
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作者简介
托马斯E科普兰（Thomas E. Copeland），现任摩立特集团(Monitor Group)首席公司财务官以及公司理财部总经理。他在约翰霍普金斯大学取得学士学位，沃顿商学院取得工商管理硕士学位，宾夕法尼亚大学取得应用经济学博士学位。曾在加利福尼亚大学洛杉矶分校任金融学专职教授，并担任系主任一职。后在纽约麦肯锡公司担任合伙人及公司理财部负责人。并曾在纽约大学、麻省理工学院及哈佛商学院担任兼职教授。
目录
第一部分金融理论第1章导论：资本市场、消费和投资 A.引言 B.不存在资本市场时的消费和投资 C.存在资本市场时的消费和投资 D.市场与交易成本 E.交易成本及其分类小结参考文献第2章投资决策：基于确定状况 A. 引言 B.费雪分离定理：投资决策中的个人效用偏好分离 C.代理问题 D.股东财富最大化 E.资本预算法 F.净现值和内部收益率的比较 G.基于资本预算的现金流 H.放松假设小结参考文献第3章选择理论：不确定状况下的效用理论 A.不确定状况下的选择五公理 B.且构建效用函数 C.风险规避的定义 D.低风险与高风险下风险规避程度的比较 E.随机占优 F.决策标准：均值与方差 G.均值一方差悖论 H.近期研究与经验证据小结参考文献第4章选择目标：均值一方差投资组合理论 A.单项资产风险与收益的度量 B.投资组合风险与收益的度量 C.两项风险资产(不含无风险资产)构成的有效集 D.一项风险资产和一项无风险资产构成的有效集 E.最优投资组合选择：多项资产 F.投资组合多元化与单项资产风险小结参考文献第5章市场均衡：资本资产定价模型和套利定价理论 A.引言 B.市场投资组合的有效性 C.CAPM的推导 D.CAPM的性质 E.运用CAPM估值：不确定状况下的单期模型 F.CAPM 在公司政策中的应用 G.CAPM的扩展 H.CAPM的实证检验 I.市场风险溢价 J.实证市场线 K.评价业绩问题：罗尔的批评 L.套利定价理论 M.套利定价理论的实证检验小结参考文献第6章或有要求权定价：期权定价理论与证据 A.引言 B.影响欧式期权价格的因素 C.组合期权：图形表示 D.股权即是看涨期权 E.看跌与看涨期权的平价关系 F.看涨期权边界值的占优定理 G.期权定价公式的推导——二项式方法 H.不支付股利的股票看涨期权定价 L.美式看跌期权定价 J.期权定价模型的扩展 K.期权定价模型的实证分析小结参考文献第7章不确定状况下的多期资本预算：实物期权分析 A.引言 D.净现值与决策树和实物期权的比较 C.实物期权定价的三个关键假设 D.

《金融理论与公司政策(第四版)》课后答案

= .18 d2 = .18 – ( .0961) (.6538) = –.02 Substituting these values into the Black-Scholes Formula, C = 44.375N(.18) – 45e N(–.02)
–.03
Using the Table of Normal Areas, we can determine N(.18) and N(–.02). Substituting these values into the formula yields C = 44.375(.5714) – 45(.9704)(.4920) = 25.3559 – 21.4847 = $3.87 5. Compare the payoffs at maturity of two portfolios. The first is a European put option with exercise price X1, and the second is a European put option written on the same stock, with the same time to maturity, but with exercise price X2 < X1. The payoffs are given in Table S7.1. Because portfolio A has a value either greater than or equal to the value of portfolio B in every possible state of nature, the put with a higher exercise price is more valuable. P(S, T, X1) > P(S, T, X2) Table S7.1 Portfolio a) P(S, T, X1) b) P(S, T, X2) Comparative Value of A and B S < X2 X1 – S X2 – S VA > VB if X2 < X1. X1 ≤ S 0 0 VA = VB

金融理论与政策(中央银行与货币政策)习题与答案

一、单选题1、作为中央银行的鼻祖，英格兰银行产生的最初原因是（）A.稳定货币和金融系统的需要B.票据交换、清算的需要C.为政府融资的需要D.统一银行券发行的必要正确答案：C解析： C、市场经济体制下，之所以需要中央银行，主要处于以下几方面的原因：（1）统一银行券发行的必要。

（2）票据交换、清算的需要。

（3）稳定货币和金融系统的需要。

（4）金融监管的需要。

2、中央银行之所以成为中央银行，最本质的职能是（）A.代理国库和组织清算B.最后贷款人职能C.垄断货币发行并实施货币政策D.促进经济发展正确答案：C解析： C、垄断货币发行权是中央银行区别于一般的商业银行最本质的特征，是中央银行的基础职能。

统一货币发行与流通是货币正常有序流通和币值稳定的保证。

统一货币发行是中央银行根据一定时期的经济发展情况调节货币供应量，保持币值稳定的需要。

统一货币发行是中央银行实施货币政策的基础。

3、20世纪中期以来中央银行制度设计的重点内容是（）A.中央银行垄断货币发行B.货币政策独立性的强化C.中央银行承担清算银行职能D.中央银行货币政策对财政政策附属作用的强化正确答案：B解析： B、中央银行相对独立性的必要性有：（1）货币政策的特殊性。

依赖于市场机制，央行职能与业务有一定的专业性与技术性。

（2）中央银行与政府地位、目标、利益驱动和制约机制不同。

避免政治性经济波动产生的可能；避免财政赤字货币化的需要；代表和捍卫社会利益；为了搞好金融监督与管理。

（3）在特殊情况下，央行必须完全服从政府的领导和指挥。

为了防止央行陷入独善其身的误区，需要让央行承担政策责任。

加强对央行组织效率的监督。

4、可以作为货币政策操作目标的指标是（）A.基础货币B.货币供应量C.汇率D.市场利率正确答案：A解析： A、货币政策操作目标包括准备金、基础货币、短期货币市场利率等，中间目标包括货币供应量、利率、汇率等。

5、法定存款准备金政策的局限性是（）A.中央银行缺乏主动权B.需要发达的金融市场配合C.对商业银行自主经营管理干扰较大D.降低金融机构的道德风险正确答案：C解析： C、法定存款准备金比率的频繁变动会给银行带来许多的不确定性，增加了银行资金流动性管理的难度。

Copeland金融理论与公司政策习题答案01

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