CFA三级Behavioral Finance教材Reading 5课后题：
The following information relates to Questions 1–6Mimi Fong, CFA, a private wealth manager with an asset management firm, has been asked to make a presentation to her colleagues comparing traditional and behavioral finance. She decides to enliven her presentation with statements from colleagues and clients. These statements are intended to demonstrate some key aspects of and differences between traditional and behavioral finance.
Statement 1
(from a colleague): “When new information on a company becomes available, I adjust my expectations for that company’s stock based on past experiences with similar information.”
Statement 2
(from a client): “When considering investments, I have always liked using long option positions. I like their risk/return tradeoffs. My personal estimates of the probability of gains seem to be higher than that implied by the market prices. I am not sure how to explain that, but to me long options provide tremendous upside potential with little risk, given the low probability of limited losses.”
Statement 3
(from a client): “I have always followed a budget and have been a disciplined saver for decades. Even in hard times when I had to reduce my usual discretionary spending, I always managed to save.”
Statement 4
(from a colleague): “While I try to make decisions analytically, I do believe the markets can be driven by the emotions of others. So I have frequently used buy/sell signals when investing. Also, my 20 years of experience with managers who actively trade on such information makes me think they are worth the fees they charge.”
Statement 5
(from a colleague): “Most of my clients need a well-informed advisor to analyze investment choices and to educate them on their opportunities. They prefer to be presented with three to six viable strategies to achieve their goals. They like to be able to match their goals with specific investment allocations or layers of their portfolio.”
Statement 6
(from a client): “I follow a disciplined approach to investing. When a stock has appreciated by 15 percent, I sell it. Also, I sell a stock when its price has declined by 25 percent from my initial purchase price.”
Statement 7
(from a client): “Overall, I have always been willing to take a small chance of losing up to 8 percent of the portfolio annually. I can accept any asset classes to meet my financial goals if this constraint is considered. In other words, an acceptable portfolio will satisfy the following condition: Expected return – 1.645 × Expected standard deviation ≥ –8%.”
Which of the following statements is most consistent with expected utility theory?
- Statement 1.
- Statement 2.
- Statement 3
- C is correct. Statement 3 is most consistent with expected utility theory. The client exhibits self-control and is able to defer consumption. This client is considering short-term and long-term goals and attempting to maximize the present value of utility. In Statement 1, beliefs are being updated using heuristics rather than Bayes’ formula. Statement 2 is consistent with prospect theory; the client is overweighting the probability of a high financial impact outcome (gains on options) and underweighting the probability of a loss (the option premium cost).
我不太明白为什么是C的表述是正确的。A表述有什么问题吗？
The client of Statement 6 is most likely behaving consistently with:
- prospect theory.
- expected utility theory.
- behavioral portfolio theory
C is correct. The client of Statement 6 is behaving consistently with behavioral portfolio theory. The client sells and holds a stock not because of the stock’s potential, but rather from a fear of the stock declining in value and gains dissipating and an aversion to realizing losses. Loss-aversion in prospect theory is discussed from a different perspective.
这题我觉得答案解释的也很奇怪。表述中明明体现的就是LOSS AVERSION，上涨15%就卖，下跌25%才卖。BPT明明是个根据不同目标投资的理论，体现的是MENTAL ACCOUNTING 和CLASSIFYING WEALTH啊。怎么会是这个呢
咨询各位大神。。。。
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