上海财经大学经济学院《高级微观经济学》题库8

1/21w()uww=80.580.510.5880.5813.5+++=P83.5P+=4.25P=212{,,}nAaaa=…(1)IAGBAGB=∪GB=∅∩12((),(),())nppapapa=…12((),(),())nqqaqaqa=…1()1niipa==∑1()1niiqa==∑pq()()iiiiaGaGpaqa∈∈∑∑(2)II12naaag()agg(()ag0)12((),(),())nppapapa=…12((),(),())nqqaqaqa=…1()1niipa==∑1()1niiqa==∑pq()()apaq(1)IvNM()1iua=iaG∈()0iua=iaB∈p1()()()iniiiiaGpauapa=∈=∑∑q()iiaGqa∈∑I(2)II2n=12aa112(1,0)Laa=212(0.5,0.5)Laa=312(0,1)Laa=413(0.5,0.5)LLL=523(0.5,0.5)LLL=45LLII412512(0.5,0.5)(0.25,0.75)LaaLaa==∼4L5L3Bernoulli1/2()uxx=,(1)5(Arrow-Pratt)(2)111(16,4)22g=CertainEquivalentProbabilityPremium(3)211(36,16)22g=CEPP(4)(2),(3)2/2(1)(,5)0.1Aru=,(,5)0.5Rru=.(2)1(,)9Cgu=,1(10,6,)(103)2uπ=−(3)2(,)25Cgu=,1(26,10,)(265)2uπ=−(4)4VNM12()()ucuc+'0,''0,'(0)uuu=∞1c2c12I1c(1)p−21I=,0.5p20I=0.5p22I=Max12()()ucEuc+1cs.t.101c≤≤2211cIc=+−2I.11111211'()'(3)'(1)(1)'(2)022ucpucpucpucλλ−−−−−−−−+=11c≠1