Econ 369F
Problem Set 1
Solutions
Spring 2015
Svetlana Boyarchenko
1. Imagine that you are a street vendor. You need to decide which
merchandize to take with you tomorrow. Suppose that there are only
two goods: ice cream and hot dogs. The profits which yo
Econ 369F
Problem Set 11
Solutions
Spring 2015
Svetlana Boyarchenko
1. Problem 4 on p. 197 in the text book.
(a) Let f1 denote the payo of the 1st project, and f2 denote the
payo of the second project. Then the returns per $1 of investment are
x1
x2
0.5 0
Problem Set 1
Fbr full credit, you must show all of your calculations and provide a clear, concise, economic
explanation when 845km to do so. The due date has been set for Monday, June 12th and late
work will not be accepted.
1. Utility Maximization Consi
Econ 369F
Problem Set 2
Due September 27 in class
Fall 2017
Svetlana Boyarchenko
You can earn at most 10 points on the four mandatory problems below. There is also an optional problem (extra 5 points) for the intrepid
1. Exercise 4 on page 55 in the text
Econ 369F
Problem Set 1
Solutions
Fall 2017
Svetlana Boyarchenko
1. Imagine that you are a street vendor. You need to decide which
merchandize to take with you tomorrow. Suppose that there are only
two goods: ice cream and hot dogs. The profits which you
Econ 369F
Problem Set 2
Solutions
Fall 2017
Svetlana Boyarchenko
1. Exercise 4 on page 55 in the text book.
The set of outcomes C = cfw_10, 20. We are given two lotteries:
p=
1.00 0.00
10
20
and q =
0.5 0.5
10 20
(a) The decision-maker has mean-variance p
LECTURE NOTE 1
ECO 369F
FALL 2017
DR. SVETLANA BOYARCHENKO
Decision-making under uncertainty
1. What financial economics is about
How much should you save? How much risk should you bear? It is obvious that
this questions are very important for our materia
LECTURE NOTE 2
ECO 369F
FALL 2017
DR. SVETLANA BOYARCHENKO
Portfolio choice
1. Investors problem: portfolio choice
Consider an economy, where k = 1, 2, . . . , K financial assets are traded. A financial
asset (a.k.a. a security) is a contract (a piece of
Econ 369F
Problem Set 5
Solutions
Spring 2015
Svetlana Boyarchenko
1. Consider the following economy. Suppose that L = S = 1, i.e., there
is no future uncertainty and there is only one good in each state. You may
view this single consumption good as the a
Econ 369F
Problem Set 4
Due February 25 in class
Spring 2015
Svetlana Boyarchenko
Solutions
This homework has the format of the 1st midterm.
It would be useful if you could time yourself. The midterm length is 75 min.
You can earn at most 10 points on the
Econ 369F
Problem Set 10
Solutions
Spring 2015
Svetlana Boyarchenko
You can earn at most 10 points on the two mandatory problems below.
There is also an optional problem (extra 5 points) for the intrepid
1. Problem 2 on p. 165 in the text book.
p
(a) We a
Econ 369F
Midterm Exam II
Spring 2015
Svetlana Boyarchenko
Please read all the questions carefully. You have 75 minutes for this test.
You can earn a total of 50 points on the test plus additional 10 points on
a bonus problem. Dont start with the bonus pr
Econ 369F
Problem Set 3
Solutions
Spring 2015
Svetlana Boyarchenko
1. Let S = K = 2, q = (1, 1.8), a
= (10, 5), and
!
"
0.5 1
R=
.
2 3
Let p = cfw_ 35 , 25 be the probability distribution on the state space. Let
the investors expected utility index be u
Econ 369F
Problem Set 8
Due April 8 in class
Spring 2015
Svetlana Boyarchenko
Solutions
1. Consider a riskless bond with the face value $10,000 and maturity
T = 4 years. In years 1,2, and 3, the bond pays the annual coupon C =
10, 000, where > 0 is the co
Econ 369F
Problem Set 9
Solutions
Spring 2015
Svetlana Boyarchenko
1. The manager of an energy firm contemplates investment in a plant
which will produce 5 mln barrels of ethanol per annum from corn starting a year after the investment is made. The revenu
Econ 369F
Problem Set 2
Solutions
Spring 2015
Svetlana Boyarchenko
1. Exercise 4 on page 55 in the text book.
The set of outcomes C = cfw_10, 20. We are given two lotteries:
p=
1.00 0.00
10
20
and q =
0.5 0.5
10 20
(a) The decision-maker has mean-variance
Econ 369F
Final exam
Spring 2015
Svetlana Boyarchenko
Solutions
Question 1. (15 points) Consider an economy under uncertainty with S
possible future states. There is a financial market with K assets traded. Let
S = K = 2. The asset prices are given by q =
Econ 369F
Problem Set 6
Solutions
Spring 2015
Svetlana Boyarchenko
1. Consider a two-period economy under uncertainty. Suppose that 2
securities are traded at date 0: a riskless bond and a forward contract for
delivery of a barrel of oil at date 1, with t
1. The price elasticity of demand is calculated as: The percentage change in quantity demanded
divided by the percentage change in price.
2. If the percentage change in quantity demanded is less than the percentage change in price, we
would say that over