金融经济学代考 ECON3006/4437/8037代写 经济学代考

ECON3006/4437/8037: Financial Economics

Final Exam

金融经济学代考 • 100%=25 points (30 points for students in 8037) reading/scanning/uploading time: 15 minutes writing time: 180 minutes (195 minutes for students

• 100%=25 points (30 points for students in 8037)

reading/scanning/uploading time: 15 minutes

writing time: 180 minutes (195 minutes for students in 8037)

• Name the uploaded file in the form of “uni id-FINAL”.

• NO working within groups is allowed!!

Any form of cheating will lead to 0 Points=0%

• Due on Monday 16/11/2020 by 12:15 PM (12:30PM for students in GMT+10

(scanned solutions on Wattle).

Late assignment cannot be accepted!!

• Please explain formulas and variables briefly in your answer.

1. (1+2+2=5 points) 金融经济学代考

There is a riskless asset and risky asset with corresponding payoff matrix:

(a) Formulate the European call option on the risky asset with strike price 10$.

(b) Let the prices for the riskless asset be 10$ and for the risky as 12$.

-Is the market arbitrage free?

-Is the market complete?

Give an argument for each of the answers.

(c) Find a replicating portfolio for the Option from part a.

2. (2+4+2+2=10 points) 金融经济学代考

Explain all your six answers in the following part (a) and (b)!

(a) True/False questions:

(i) The CCAPM implies that a risky asset with a positive risk premium can provide insurance to investors.

(ii) If the return rate is uncorrelated with aggregate risk, this asset has a higher success probability, compared to a risky asset that pays out in good times but not in bad times. Assume they have the same expected return.

(b) Multiple choice question on the CAPM: Which statement of the following is wrong?

(i) An overvalued stock lies above the security market line.

(ii) A portfolio lying on the efficient frontier must have a β > 0.

(iii) If β = 0, then the expected rate of return of this asset is r^f .

(iv) If β = 1, then the expected rate of return of this asset is r^m.

(c) What is the Capital Market Line (CML) and the Security Market Line (SML)?

(d) Explain the interrelation between the CML and SML.

3.(3+3=6 points) 金融经济学代考

Let aggregate endowment at time T = 2 be given by

ω₂ = w · (1 + g₁) · (1 + g₂)

with g₁, g₂ being independent and identically distributed based on a fair coin with g_t , t = 1, 2, taking values {−2%, 4%}, and initial wealth w = 2 trillion AUD.

(a) Draw the resulting event tree, specify probabilities of states at time T = 2 and specify the random variable ω₂.

(b) Compute the conditional expectation of the aggregate endowment ω₂ at time t = 0, 1, 2.

4.(4 points)

Assume that dividends determined by 50% of the aggregate output. Let the utility index be u = ln and δ = 99%. What is price of the risky asset at time 0 as function of aggregate output with T = 10.

The following problem is only for students registered to 8037!

5. (5×1 points) 金融经济学代考

In Week 12, we mentioned 12 responses to puzzles resulting from the standard model. In Week 10, we listed the primitives and model predictions of the standard model:

Associate 5 responses of your choice (out of 12) to a particular primitive or model prediction. Explain each association in one precise sentence.

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