Titlebook: Solutions to Financial Economics; Exercises on Classic Thorsten Hens,Marc Oliver Rieger Book 2019 Springer-Verlag GmbH Germany, part of Spr

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Solutions to Financial Economics978-3-662-59889-4Series ISSN 2192-4333 Series E-ISSN 2192-4341

Nuance

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Book 2019ings?that help?us?to understand many puzzles in traditional finance.?Tailor-made for master’s and PhD students,?it includes?tests and exercises that enable students to keep track of their progress. Parts of the book can also be used?at?the?bachelor level..

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2 Decision TheoryConsider the following game: you roll a dice, if you roll a 6, you win 6 million € otherwise you win nothing. You can play only once. Let us assume your expected utility function is given by .(.)?=log.. (base 10 logarithm, i.e., log.(10.)?=?.) and your initial wealth is 10,000 €.

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3 Two-Period Model: Mean-Variance ApproachThere are two risky assets, .?=?1, 2 and one risk-free asset with return of 2%. Risky assets cannot be short sold. The expected returns of the risky assets are ..?:=?5% and ..?:=?7.5%. The covariance matrix is:

Derogate

5 Multiple-Periods ModelLet us consider the following three-period model where the returns of two assets are marked at each node

GRILL

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8 Time-Continuous ModelLet . be a Wiener process. Find the expressions for

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