主要考察后半部分知识点
Mutuality Principle (15 marks)
Investors A and B only care about one good – wealth at date t = 1. At that date
economy will be either in state 1 or in state 2. A and B agree that state 2 is twice as
likely as state 1: In state 1 A will have the wealth endowment of 6 and B will have
the wealth endowment of 18: In state 2 A will have the wealth endowment of 12 and
B will have the wealth endowment of 12: Neither investor has any wealth at date
0. At date 0 both investors have access to the
nancial markets with the following
payoff matrix
Mean Variance Approach (21 marks)
Suppose an investor has access to a trading platform that o¤ers three
nancial assets.
The platform prohibits selling any asset short, that is the investor can hold zero or
a positive amount of either asset. There are two possible states of the world. The
payo¤s of the assets are given in the matrix below
Stochastic Discount Factors (19 marks)
a: (7 marks) Compute the equilibrium prices of wealth, (Arrow security prices),
and the equilibrium allocations of wealth for Agents A and B. Hint: the mutuality
principle does not provide a simple answer here. You need to set up the optimization
problem for each agent, solve for the demands for contingent weath, impose market
clearing conditions and solve for the equilibrium prices of wealth in di¤erent states
(or their ratio).
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