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

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1、一皿毋s1lllv工Oluds-dZ sasset management to her colleagues decides to enliven and clients. TheseMimiFong,CFA,aprivatewealthmanagerwithanfirm,hasbeenaskedtomakeapresentationcomparingtraditionalandbehavioralfinance.Sheherpresentationwithstatementsfromcolleaguesstatementsareintendedtodemonstratesomekeyaspe

2、ctsofanddifferencesbetweentraditionalandbehavioralfinance.AStatement1cfafrmcpacmavideo,weixin:804283381(fromacolleague):nWhennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompanysstockbasedonpastexperienceswithsimilarinformation/*(fromaclient):Whenconsideringinvestments,Ihavea

3、lwayslikedusinglongoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses/(fromaclient):I

4、havealwaysfollowedabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave.(fromacolleague):WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheninvestin

5、g.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge.Statement5(fromacolleague):Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablestrategiesto

6、achievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio.4N*W*OMMM-H(fromaclient):followadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyinitialpurchaseprice.A(froma

7、client):Overall,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645Expectedstandarddeviation-8%.AWhichoft

8、hefollowingstatementsismostconsistentwithexpectedA.Statement1.B.Statement2.C.Statement3.1Statement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentvalueofutility.InSt

9、atement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).Whichofthefollowingstatementsmostlikelyindica

10、tesabeliefthatA.Statement2.B.Statement4.C.Statement6.Statement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.9HHMMM*MMnwm*WUifBUril0Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpricingthatincludessenti

11、mentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.,*1tiHt-HttIOWitfffMUVCCBMFflMbfI=PUO-IBJPPUnoqCQAIUO4BJ.!SPB上LPPUnoqI-qzxIoUUoA-A-c-二nqOPA一n-c-l.LuIllJoJlOPOISUOAn-OS-BLUOlBebPUeBSJSUnIUUJlS七U-IUBXOlSsluUJ=sAeUJSIU-P-cl.-rooOI-BAe-s6U-LplelUAqO=Ojod一一puouA-c-

12、lBSneUBqSRqSflUrIOXJB-BIUIUzSIUIUls-SlU-Pt;dsjdIUJpIU0JPSSrDS-P-l-0uol-n-oroo.0-SU-Z-BBJOIUo-SJBUBPUB6三IBd-SS-PSU-B6pu3n-BU-6-u-pppos一oBeUJ0上WgInq-,-WodS-U01S一OBSneUBqIoU01sBSP-OIlPUBS=SLPIII.XJOBWO-OPJOd-PJoBJZqllM-1U一-suouCTo-9IUIUl3lsJo1U-PIllU三o-owAHATheclientofStatement7wouldmostlikelyagreewith

13、whichoftheC.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.HTheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindica

14、tesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaportfolioinlayers.S-BnPPUIM-Osose-soeqCQ-H8三sHTiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordansfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk;i.e.,betashouldbezero)whichhasprovedtobeeffectiveasaresultofJordan,shardwork.Anequitymarketneutralst