CFA三级培训项目：经典题_行为金融学（Behavioral Finance）_打印版.docx

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1、11S,(TheBehavioralFinancePerspectiveCase:MimiFongMimiFong,CFA,aprivatewealthmanagerwithanassetmanagementfirm,hasbeenaskedtomakeapresentationtohercolleaguescomparingtraditionalandbehavioralfinance.Shedecidestoenlivenherpresentationwithstatementsfromcolleaguesandclients.Thesestatementsareintendedtodem

2、onstratesomekeyaspectsofanddifferencesbetweentraditionalandbehavioralfinance.Statement1(fromacolleague):Whennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompanysstockbasedonpastexperienceswithsimilarinformation/1(fromaclient):Whenconsideringinvestments,Ihavealwayslikedusinglo

3、ngoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses.(fromaclient):Ihavealwaysfollowe

4、dabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave.HCase:MimiFongStatement4(fromacolleague):WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheni

5、nvesting.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge.,zStatement5(fromacolleague):,Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablest

6、rategiestoachievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio.Case:MimiFongStatement6(fromaclient):Ifollowadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyiniti

7、alpurchaseprice.Statement7(fromaclient):wOveraII,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645Expec

8、tedstandarddeviation-8%.WhichofthefollowingstatementsismostconsistentwithexpectedCase:MimiFongSSolution:CStatement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentval

9、ueofutility.InStatement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).Case:MimiFongWhichofthefollow

10、ingstatementsmostlikelyindicatesabeliefthattechnicalanomaliesexistinthecapitalmarkets?Solution:BStatement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpric

11、ingthatincludessentimentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.Case:MimiFongSB.boundedrationality.C.mentalaccountingbias.Case:MimiFong3Solution:CTheclientsdiscussedinStatement5exhibitmentalaccountingbiasbecausetheyconsidertheirportfoliobymatchingitslayers

12、togoals.Theclientsmaynothavetimethemselvestoexaminetheinvestmentuniverseandarriveatoptimalsolutions,buttheyrelyontheiradvisertodothisforthem.Thus,theydonotexhibitboundedrationality.TheclientofStatement6ismostlikelybehavingconsistentlywith:A.prospecttheory.B.expectedutilitytheory.C.behavioralportfoli

13、otheory.TheclientofStatement6isbehavingconsistentlywithbehavioralportfoliotheory.Theclientsellsandholdsastocknotbecauseofthestock,spotential,butratherfromafearofthestockdeclininginvalueandgainsdissipatingandanaversiontorealizinglosses.Loss-aversioninprospecttheoryisdiscussedfromadifferentperspective

14、.Case:MimiFongSTheclientofStatement7wouldmostlikelyagreewithwhichofthefollowingStatements?cfafrmcpacmavideofweixin:804283381A.Istriveforamean-varianceefficientportfolio.B.Iconstructmyportfolioinlayerstomeetmygoals.C.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.Case:MimiFong3Sol

15、ution:ATheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindicatesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaport

16、folioinlayers.TheBehavioralBiasesofIndividualsHCase:TiffanyJordanTiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordan,sfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk;i.e.1betashouldbezero)whichhasprovedtobeeffectiveasaresultofJordanshardwork.Anequitymarketneutr