What is the optimal amount of risky assets, Financial Management

Assignment Help:

Consider a world with two assets: a riskless asset paying a zero interest rate, and a risky asset whose return r can take values +10% or -8% with equal probability. An individual has preferences represented by the utility function u(x) = ln x and an initial wealth w0 = 10.

a) Solve the portfolio choice problem of the agent. What is the optimal amount z* of risky assets?

Assume now that the agent also faces an exogenous additive background risk ε, with a distribution independent of r, that can take values +4 or -4 with equal probability (additive means that the agent's final wealth x is given by the portfolio of assets plus ε).

b) Show that this background risk reduces the demand for risky assets.


Related Discussions:- What is the optimal amount of risky assets

Senior versus subordinate bonds, This is again a distinction which be...

This is again a distinction which becomes important in case of a default. The senior bondholders have to be paid before the subordinate bondholders. This means th

Return payment method, when asked to calculate return method given cash flo...

when asked to calculate return method given cash flow before depreciation how do you do it

Graphical depiction using duration to estimate price changes, The price vol...

The price volatility properties of bonds with the help of the graph of the price/yield relationship. Let us now, with the help of a graph, illustrate how duration estim

Definition of financial management, Q. Definition of Financial Management? ...

Q. Definition of Financial Management? As-per to Joseph L. Massie 'Financial management is the operational activity of a business that is responsible for obtaining as well as e

Calculate the present price of the stock, Company Z has just been organized...

Company Z has just been organized. It is expected to experience zero growth next year and grow at a 10% rate in year 2.  Beginning in the third year the company should attain a 5%

Explain the term dividend cover, Dividend cover Dividend cover measure...

Dividend cover Dividend cover measures the relationship among earnings per share and net dividends per share. The higher the altitude of dividends for any given level of EPS t

What do you signify by cash, Q. What do you signify by Cash? Cash :- Fo...

Q. What do you signify by Cash? Cash :- For the motive of cash management the term cash not only includes cheques, bank drafts, coins, currency, notes, demand deposits with ban

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd