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

一皿毋s1lllv工O>luds-dZ sasset management to her colleagues decides to enliven and clients. TheseMimiFong,CFA,aprivatewealthmanagerwithanfirm,hasbeenaskedtomakeapresentationcomparingtraditionalandbehavioralfinance.Sheherpresentationwithstatementsfromcolleaguesstatementsareintendedtodemonstratesomekeyaspectsofanddifferencesbetweentraditionalandbehavioralfinance.AStatement1cfafrmcpacmavideo,weixin:804283381>(fromacolleague):nWhennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompany'sstockbasedonpastexperienceswithsimilarinformation/*>(fromaclient):"Whenconsideringinvestments,Ihavealwayslikedusinglongoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses/'>(fromaclient):"Ihavealwaysfollowedabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave.".(fromacolleague):"WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheninvesting.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge."Statement5(fromacolleague):"Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablestrategiestoachievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio."4N*W*OMMM-H>(fromaclient):"followadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyinitialpurchaseprice.A(fromaclient):"Overall,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645×Expectedstandarddeviation>-8%."AWhichofthefollowingstatementsismostconsistentwithexpectedA.Statement1.B.Statement2.C.Statement3.1Statement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentvalueofutility.InStatement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).>WhichofthefollowingstatementsmostlikelyindicatesabeliefthatA.Statement2.B.Statement4.C.Statement6.Statement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.«9HHMMM*MMnwm*WUifBUril0Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpricingthatincludessentimentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.',*1tiHt-HttIOWitfffMUVCCBMFflMbfI=PUO-IBJPPUnoqCQAIUO4BJ.!S>PB上LPPUnoqI-qzxIoUUoA-A-c-二nqOPA一n-c-l.LuIllJoJlOPOISUOAn-OS-BLUOlB>ebPUeBSJSUnIUUJlS>£七U-IUBXOlS>slu£UJ=sAeUJSIU-P-cl.-rooOI-BAe-s'6U-LplelUAqO=Ojod一一puouA-c-lBSneUBqSRqSflUrIOXJB-BIUIUz×SIUIUls-SlU-P>t;dsjdIUJpIU0JPSSrDS-P-l-0uol-n-£o>roo.0-SU-Z-BBJOIUo-SJ>BUBPUB6三IBd-SS-PSU-B6pu3n-B>U-6-u-pp>pos一oB£eUJ0上WgInq-,-WodS-U01S一OBSneUBqIoU01sBSP-OIlPUBS=SLPIII.XJOBWO-OPJOd-PJo>BJZqll'M-1U一-suouCT>o-9IUIUl3lsJo1U-PIllU三o-owAHATheclientofStatement7wouldmostlikelyagreewithwhichoftheC.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.HTheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindicatesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaportfolioinlayers.S-BnP>PUIM-Osose-so>eqCQ-H8三sH>TiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordan'sfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk;i.e.,betashouldbezero)whichhasprovedtobeeffectiveasaresultofJordan,shardwork.Anequitymarketneutralstrategynormallygenerateslargedailytradingvolumeandshiftsinindividualsecuritypositions.Jordan'sreputationhasgrownovertheyearsasherfundhasconsistentlybeatenitsbenchmark.EmployeeturnoveronJordan,steamhasbeenhigh;shehasatendencytobequicktoblame,andrarelygivescredittoteammembersforsuccess.Duringthepasttwelvemonths,herfundhasbeensignificantlyunderperformingagainstitsbenchmark.1OneofJordan'sjunioranalysts,JeremyTang,isconcernedabouttheUnderperformanceandnotesthefollowing:Certainpositionsaresignificantlyunderwater,havemuchhigherriskprofiles,andhavebeenheldformuchlongerthannormal.>Observation2Thetradingvolumeofthefundhasdecreasedbymorethan40percentduringthepastyear.Theportfolioismoreconcentratedinafewsectorsthaninthepast.TangisworriedthattheportfoliomaybeinviolationofthefundzsInvestmentPolicyStatement(IPS).TangbringsthistoJordan'sattentionduringaregularweeklyteammeeting.JordandismissesTang,sanalysisandtellstheteamnottoworrybecausesheknowswhatsheisdoing.Jordanindicatesthatsinceshebelievesthepricingmisalignmentwillcorrectitself,theportfoliowillnotbeabletotakeadvantageofthereversiontothemeanifshesellscertainlosingpositions.Shereassurestheteamthatthisstrategyhasperformedwellinthepastandthatthemarketswillrevertandthefund'sreturnswillreturntonormallevels.Tangtactfullysuggeststhattheteamreviewthefund,sIPStogether,andJordaninterruptshimandremindstheteamthatshehasmemorizedtheIPSbyheart.Tangcontemplateshisnextstep.HeisconcernedthatJordanisdisplayingbehavioralbiaseswhichareaffectingthefund,sperformance.ElABytakingcreditforsuccessesbutassigningblameforfailures,Jordanismostlikelydemonstrating:UO*UOQUWHHnI9WgW*VUM!KmPaaIKIHSelf-attributionisabiasinwhichpeopletakecreditforsuccessesandassignresponsibilitiesforfailure.Jordanattributessuccessfuldecisionstoherselfwhilepoordecisionsareattributedtotheteam.Herself-esteemaffectshowshelooksatsuccessandfailure.Self-attributionandillusionofknowledgebiasescontributetooverconfidencebias,whichJordanclearlydemonstrateslaterwhenshetellstheteamthatsheknowswhatsheisdoing.HAWhichofTang,sobservationsisleastlikelytobetheconsequenceof1.ossaversionbyitselfmaycauseasectorconcentration;however,amarketneutralstrategytendstofocusonindividualstockswithoutregardtothesector.Thesectorexposurewouldbemitigatedwiththebalancingoftheindividuallongandshortpositions.-0IUFDPUBPUn0BEnll>3UJ0EE0BHUctee-aM6u-p-0qOou4no二工.8AqP：PJqABEJzSlStoddnsJSDASUo-:P3S3PJ0f4。IP三vA1Holdingweeklyteammeetings,whichwouldindicateawillingnesstolistentofeedbackfromothers,isnotrepresentativeoftheillusionofcontrolbias.Theillusionofcontrolbiasisoneinwhichpeoplebelievetheycancontroloutcomes.Individualsexhibitingthisbiasdisplaygreatcertaintyintheirpredictionsofoutcomesofchanceeventsandignoreothers'viewpoints.Jordanissurethatthemarketwillturnaroundeventhoughitisoutofhercontrol.ShechoosesnottolistentoTangwhoisquestioningherviewpoint,cfafrmcpacmavideo,weixin:804283381uAS-IJ>OIunlO-OjIJodL6upnp七cd1Jordan,sbehaviorisaclassicexampleoflossaversion:Whenalossoccurs,sheholdsontothesepositionslongerthanwarranted.Bydoingso,Jordanhasacceptedmoreriskintheportfolio.Loss-aversionbiasisoneinwhichpeopleexhibitastrongpreferencetoavoidlossesversusachievinggains.Oneoftheconsequencesoflossaversionbiasisthatthefinancialmanagementprofessional(inthiscase,Jordan)mayholdlosinginvestmentsinthehopethattheywillreturntobreak-evenorbetter.HAWhichofthefollowingemotionalbiaseshasJordanmostlikelyexhibited?A.Endowment.1Jordanexhibitsoverconfidenceinseveralways.SheignorestheanalysisdonebyTang.ThismaybebecauseJordanbelievessheissmarterandmoreinformedthanherteammembers,whichistypicalofanindividualwithanillusionofknowledgebias.Thecertaintyshedemonstratesthatthemarketwillrevertisevidenceofoverconfidence.Heroverconfidenceisintensifiedbyherself-attributionbias,whichisdemonstratedthroughherdealingswithherteamwhensheblamesthemforlosseswhiletakingcreditforthegains.Finally,herportfolio'sunderperformanceagainstthebenchmarkisaconsequenceofoverconfidencebias.HB.Representativeness.Biscorrect.NowhereinthescenariodiditmentionthatJordanclassifiedcertaininformationintoapersonalizedcategory.Representativenessbiasisacognitivebiasinwhichpeopletendtoclassifynewinformationbasedonpastexperiencesandclassifications.Jordanisnotrelatingthecertaintyaboutthefutureorherdecisiontoholdlosingpositionsbacktosomethingshehasdoneorexperiencedinthepast.HAWhichofTang,sfindingsisnotatypicalconsequenceofself-controlB.Assetallocationimbalanceproblemsintheportfolio.C.Ahigherriskprofileintheportfolioduetopursuitofhigherreturns.1Failingtoexploreotheropportunitiesisademonstrationofstatusquobias,notself-control.Self-controlbiasoccurswhenindividualsdeviatefromtheirlong-termgoals,inthiscase,theinvestmentpolicystatement,duetoalackofself-discipline.Jordanisnotadheringtothestrategywhichhasbeensuccessfulinthepast.Theconsequencesofself-controlbiasincludeacceptingtoomuchriskintheportfolio(C)andassetallocationimbalanceproblems(B)asJordanattemptstogeneratehigherreturns.sssuo,ldWoeISOMIIPUeuccz-ebo>ell86三sH>IanWang,CFA,isafinancialadvisoratGarnierBrothers,aUSmoneymanagementfirm.HebecameafinancialadvisorseveralyearsagoafterreceivinghisCFAcharterandcurrentlyhasthreehigh-net-worthindividualsasclients.Wangisconductinghisannualreviewofeachclientsinvestmentpolicystatementalongwiththeirrecentlycompletedrisktolerancequestionnaires.Heisreflectingontheirvaryingpsychographiccharacteristics:MichaelPerezisasuccessful45-year-oldinvestmentbanker.WangdescribesPerezasapassiveinvestorwhoissensibleandsecure.Perezexhibitslowtomediumrisktolerancebutoftenoverestimateshisrisktolerance.Hisbiasesincludehindsight,framing,andregretaversion.Onhisquestionnaire,Perezindicatedadesireforwealthpreservationwhilewantingtoinvestasignificantportionofhisassetsinhisemployer'sstock.1SarahJohnsonisanindependent-minded45-year-oldrealestatedeveloperwhohashistoricallyutilizedsignificantamountsoffinancialleverage.PriortobecomingaGarnierclient,Johnsonmanagedherowninvestmentportfolio,whichwasconcentratedinjustafewstocks.Johnsonexhibitsagreatdealofconfidenceandhighrisktolerance.Johnson'sbiasesincludeillusionofcontrolandoverconfidence.Onherquestionnaire,Johnsonindicatedadesireforwealthaccumulationandanaversiontoinvestinginnon-USequities.Inaddition,sheindicatedthatherrisktolerancetowardastockinvestmentwouldincreasesignificantlyifsheknewthatmorethanoneofGarnier,sresearchanalystssupportedit.1NealPatelisa66-year-oldbillionairewhoaccumulatedhiswealthbystartingasuccessfulretailbusiness.WangdescribesPatelascautiousandconcernedaboutthefuture.Patelisconcernedaboutprotectinghisassetsandoftenseeksadvicefromthoseheperceivesasbeingmoreknowledgeablethanhimself.Patelexhibitslowrisktolerance.Patel,sbiasesincludeendowment,lossaversion,andstatusquo.Patelindicatedthathisrisktolerancewouldincrease significantly unanimous support Committee.A There was one commonifheknewthataninvestmenthadtheofGarnierzSPrivateWealthInvestmentobservationthatWangnotedinallthreequestionnaires:Allthreeclientsindicatedthattheywouldperceiveacompanywithagoodgrowthrecordandgoodprevioussharepriceperformanceasagoodinvestment.OnceWangcompleteshisannualreview,herevisestheinvestmentpolicystatementfortheclientsapproval.Aftertheclientapprovestherevisedpolicystatement,theportfoliofortheclientwillbereviewedtodetermineanynecessaryreallocations.WangislimitedbyGarnierastothespecificinvestmentoptionsthatcanbeplacedinaclientsportfolio;onlysecuritiesthatarecoveredbyGarnier,sresearchanalystsandapprovedbythePrivateWealthInvestmentCommitteecanbeplacedinaclientsportfolio.GarnierisconfidentthatitsanalystsprovidesuperiorforecastsandratingsbecausetheyuseaBayesianapproach.Garnierisalsoproudofitsinvestmentapprovalprocess.ThePrivateWealthInvestmentCommitteeregularlymeetstodiscussanddebateeachsecurityandthenvotesonwhichwillbeapproved.Wangisscheduledtomeetwithhissupervisornextweektodiscusstheresultsofhisannualreviewandrecommendedportfolioreallocations.S04Bd03llsPUesu04->PpBPUB>|二S=BlBPq'M-IBdPso-IdSSsodBumbLUIUO-SPPIULuls>-三Wlu-000E-UO4Vs>pO=OJt-od0Siuq£0ZaJd-BUnPBCQ<.0MAldypZSD一-TO5u-Pz6u->p-sAElThiswouldnotbeaneffectivewaytoadvisePatel.GivenPatesinformation,heislikelytobemorereceptiveto"bigpicture"advicethatdoesnotdwellondetailslikestandarddeviationsandSharperatios.Heisemotionallybiasedandprovidingexcessivecognitivedetailwilllosehisattention.Heneedstobeconvincedofhisadvisor,sgeneralphilosophyfirstandthen,astrustisgained,hewillrespondtoadviceandtakeaction.(PatelisaPassivePreserver.)1AtraditionalrisktolerancequestionnaireismostlikelytobeeffectiveasPerezexhibitsprimarilycognitiveratherthanemotionalbiases.Althoughrisktolerancequestionnairesmayfailforemotionallybiasedindividualsandworkbestforinstitutionalinvestors,theyaregenerallyeffectiveforcognitive-basedindividuals.HAWhichofthefollowingbehavioralbiaseswouldbemostrelevantinA.Homebias.ASolution:AHomebiasisevidentinJohnson,squestionnaire.Johnsonhasexpressedanaversiontoinvestinginnon-USequities.Familiaritywiththeircountrymayleadinvestorstoownhighconcentrationsofdomesticassetsandignorethebenefitsofinternationaldiversification.1AWhichinvestmentportfolioisleastlikelytodeviatefromthemean-C.Johnson.Solution:BPerezhasprimarilycognitiveerrorbiases.Accordingly,itislikelythat,witheducation,theimpactofthesebiasescanbereducedoreveneliminated.Becausecognitivebiasesdominate,Wangshouldseektomoderatetheeffectofthesebiasesandadoptaprogramtoreduceoreliminatethebiasratherthanacceptthebias.Theresultwillbeaportfoliothatissimilartothemean