CFA三级培训项目：Behavioral Finance 打印版.docx

CFA三级培训项目QTopic in CFA Level IIIStudy Session i-2Study Sssion 3Study Session 4ETHICS & PROFESSIONAL STANDARDS (1&BEHAVIORAL FINANCECAPAL MARKET EXPECTATIONS ( NEW】Study Session 5Study Session 6Study Session 78Study Session 9-10Study Session UStudy Session 12*13Study Session 14Study Session 15Study Session 16ASSETALLOCA11ONANDRELATEDDECISIONSINPORTFOUOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOUOMANAGEMENTI&：2)EQUITYPORTFOUOMANAGEMENT(1：.&(2)ALTERNATIVEINVESTMENTSFORPORTFOUOMANAGEMENT(NEWPRIVATEWEALTHMANAGEMENT(l)8c(2)(NEW)PORTFOUOMANAGEMENTFOR1NST11U11ONALINVESTORS【NEW)TRADINGPERFORMANCEEVALUATIONANDMANAGERSELECTION(NEWCASESINPORTFOUOMANAGEMENTANDRISKMANAGEMENTNEW Behavioral Finance Success Keys: Remember Key Words Study Some Cases of These Key Words Explain the Key Words in One Sentence” Recommendations Much of the terminology is redundant in that more than one term can mean the SJme thing. Many Of the concepts are overlapping, and most of the questions depend heavily on comprehending the terminology.Your focus should be on understanding the basic meaning of each term as given in the material.4-HO旨工新章9 FrameworkBehavioral Finance SS3: Behavioral Finance R7 The Behavioral Finance Perspective R8 The Behavioral Biases of Individuals R9 Behavioral Finance and Investment Processes5-110宣2.W -:SIaTheBehavioralFinancePerspectiveTraditionalFinancevs.BehavioralFinanceWithintraditionalfiance.individualsareassumedtoberisk-averseselfinterestedutilitymaximizersrational'TraditionalfinancefurtherhypothesizesthatJtthemarketIeVe,DrkeSirorporatandreflect"IavailableandIeleVantinformation，Behavioralfinanceincludesbehavioraleconomics,investorDsycholoav.behavioralKienyexperimentaleconomics,andCoanitiVeDSVCholoaVThevarietyofapproachestakentoexamineinvestorbehavioraddstotheconfusionaboutwhatismeantbybehavioralfinance.InOrmalbehavioralfinancemicro(BFMI)examinesbehaviorsorbiasesthatdistinguishindividualinvestorsfromtherationalactorsenvisionedinneoclassicaleconomictheory./BFMlquestionstheperfectrationalityanddecision-makingprocessofindividualinvestors.Qtbehavioralfinancemacro(BFMA)considersmarketanomaliesthatdistinguishmarketsfromtheefficientmarketsoftraditionalfinance.7-110/BFMAquestionstheefficiencyofmarkets.写3.WietaDecision-MakingProcessToprovideJframeworkforunderstandingtheimplicationsofthedecisionmakingprocessforfinancialmkepractitionerswewillUSganapproach,developedbydecisionTheorist,HowardRaiHa.“Heusesthetermsnormativeanalysis,descriptiveanalysis,PrerCriDtiVe-nalskNormativeanalysissconcernedwiththenationalsolutiontotheproblemathand.】tdefinesanidealthatactualdecisionsShOUldstrivetoapproximate.DescriptiveanalysisSconcernedwiththemannerinwhichrealpeopleactuallymakedecisions.Prescriptiveanalysisisconcernedvthpracticaladviceandtoolsthatmighthelppeopleachieveresultsmorecloselyapproximatingthoseofnormativeanalysis.Traditionalfinanceassumptionsaboutbehaviorasnormative.Behavioralfinanceexplanationsofbehaviorsasdescriptive.8110”Effortstousebehavioralfinanceinpracticeasprescriptive.巨北兔保-MCognitiveErrorsorEmotionalBiasesBehavioralbiasescanbecategorizedascognitiveerrorsoremotionalbiases.Cognitiveerrorsstemfrombdsstatistical,information-processing,ormemoryerrors;cognitiveerrorsmaybeconsideredtoresultfromreasoningbsedonfaultythinking.Emotionalbiasesstemfromimpulseorintuitionemotionalbiasesmaybeconsideredtoresultfromreasoninginfluencedbyfeelings.“Behavioralbiases,cognitiveoremotional,maycausedecisionstodeviatefromtherationaldecisionsoftraditionalfinance.Tra.FinancePerspectivesonIndiv.BehaviorTraditionalfinanceconceptsmaybethoughtofasnormative,indicatinghowpeopleandmarketsshouldbehave.，InvestorsareassumedtoberationalinvestorsmakedecisionsconsistentWitllUtiHtytheoryandreviseexpectationsupdatebeliefs*cons>stentv.thBaYeSfOrmUla1G11CTheyarefurtherassumedtobeself-interestedandrisk-averse,tohaveaccess:toperfectinformation,andtoprocessallavailableinformationinanunbiasedway.S-Ld"3通UtilityTheoryTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothefouraxiomsofutility:completeness,transitivity,independence,andcontinuity.CompletenessChoicesandpreferencesareknownThei11dvdu3isawa11?ofallSvaildblechoicesJndCJnVJlUeJndassignpreferencestoeach,suchthatbetweenanytwochokestheindividualprefersoneovertheotherorisindifferentbetweenthem.TransitivityRankingSareappliedconsistentlyIVllO/IftheinvestorpreferschoiceXtochoiceYandpreferschoiceYtochoiceZ,theinvestorwillpreferchoiceXtochoiceZ.巨北兔保-MUtilityTheoryIndependence:Utilitiesareadditiveanddivisible.AddingchoiceZtobothXandYwillnotaffectthepreferencerankingofXandY.If.forexample,theinvestorprefersXtoYandWeaddZtobothchoices,theinvestorwillprefer(X+Z)over(Y+Z).Also,assumingtheinvestorprefersXtoY.ifanyportion,p.ofZisaddedtoXandY.theinvestor'spreferencerankingdoesnotchange.Theinvestorwillprefer(X+pZ)to(Y+pZ).Iftherankingisbasedonthesizeoftheproportion,thechoicesarenotindependent.“Continuity:Indifferencecurvesaresmoothandunbroken.AssumetherearethreechoicesL.MJndNsuchthattheinvestorprefersLtoMandMtoN.TheremustbeacombinationofLandNportionsJandb)thatmakestheinvestorindifferentbetween【3L+bNandM.Thisensuresthatindifferencecurvesareunbrokeni.econtinuous).P (A)where=COndftiOnaIprobabilityCfeventAgivenBItistheupdated=prior(unconditional)probabilityofh'mationB13-110=priorprobabilityCfeventAwithoutnewInfcjrmationBThisistheateofbaseprobabJtyCfeventA亏史-创新一谗情MakingDecisionsinPerfectWordInaperfectWOrIdwhenpeoplemakedecisionsunderuncertaintytheyareassumedtodothefollowiing:AdheretotheaxiomsOfutilitytheory;Behaveinsuchawayastoassignaprobabilitymeasuretopossibleevents;Incorporatenewinfermationbycond巾OningpobabilitymeasuresaccordingtoBayes*formula;Chooseanactionthatm<dmizestheutilityfunctionsubjecttobudgetconstraints(consistentlyacrossdiflntdecisionproblems)with,especttothisconditionalprobabilityrneiasure14-110Homoeconomicsorrationaleconomicman(REM):Principlesofperfectrationalityperfectself-inti!resandperfectinformationgovernREM'Seconomicdecisions亏业创新港伯RiskAverseExpectedutilitytheorygenerallyassumesthatindividualsareriskaverseThismeansthatanindividualmayrdisealirwager(awagerwithanexpectedVcilueofzero),andalsoimpliesthathisutilityfunctionsareconcaveandshowdiRiinishingmarginalUtiiityd'wealth;Giventwochoices-investingtoreceiveanexpectedvaluewithcertaintyOrinvestinginanuncerUinalternativethatgeneratestheseimeexpectedVcilue-SomeonewhopreferstoinvlesttoreceiveanexpectedVaIUeWithcertaintyratherthaninvestintheUncertainalternativethatgeneratesthesameexpectedvalueiscalledrisk-averse;whopreferstoinvestinthUncertciinalternativeiscalledrisk-seeking;Intrad巾Onalance;indiddualsareassmedtoberisk-averseUtilityFunctionofWealth，AconcaveutilityfunctionmeansEatutilityincreasesat3decreasingrateWithincreasesinwealth;therisk-averseindividualhasadiminishingnrgnlutilityofwealthAconvexutilityfunctionmeansthatutilityincreasesatanincreasingratewithincreasesinwealth;therisk-seekingindividualhasanncreasingmarginalutilityofwealthThedegreeOfllSkaversionCdnbemeasuredbythecurvatureQftheutilityfunction.ChallengestoTraditionalFinanceandtheREM“ThosewhochallengeREMdosobyattackingthebasicassumptionsofperfectinformation,perfectrationality,andperfectself-interest.SomeofthebehavioralchallengestoREMinclude:Boundedrationalityassumesthatindividualschoicesarerationalbutaresubjecttolimitationsofknowledgeandcognitivecapacity,anddonotbehavewithperfectrationality:PeoplehavedifficultyPrioritiZing$horterm(SPending)goalsoverlong-term(spendingversusSdVingjgoalsanddonotbehavewithperfectself-interest:Itisintuitivelyobviousthatmanyeconomicdecisionsaremadeintheabsenceofperfectinformationanddonotbehavewithperfectinformationmonetarypolicy):17-110Wealthutilityfunctionsmaynotalwaysbeconcaveasassumedbyutilitytheory,andindividualsCansometimesexhibitriskseekingbehavior.巨北兔保-MChallengestoUtilityMaximization，IndifferencecurveanalysismayincorporatebudgetIifiesorconstraints,whichrepresentrestrictionsonconsumptionthdtstemfromresourcescarcity:，IfthetwoitemsareperfectsubstitutesThentheindividualisv/illingtotradeonefortheothenJfixedratio:thentheindifferencecurveisalinewithaconstantslopereflectingthemarginalateofsubstitution-IfthetwoitemsareperfectcomplementsthenthecurvewouldbeL-shped.Anadditionalamountofeithergoodaddsnoextrautilitybecausethegoodsareonlyusedincombination.”Riskplaysanimportantpartinmakingutility-maximizingdecisionsChallengestoAttitudesTowardRisk”Assumingthatindividualsarerisk-averseendthatutilitycurvesareconcaveandexhibitdiminishingmarginalutilityseemsreasonable,butobservedbehaviorsarenotalwaysconsistentwiththeassumptionofanindividualwhoisconstantlyrisk-averseSuchabuyinglotteryticketsandbuyingm-inv.,hichexpectedutilityislowbutpeople(evenwithlowincomes)participateinthepurchase;IfJninvestmentoffersafewextremelylargeprizes,itsattractivenessisincreasedfarbeyondtheaggregateVJlURoftheprizes./ThosewithlessincomePrefeeithercertaintyorariskthatoffersasmallchanceof3largegaintoJriskthatismoderate/Middle-incomepeoplearemorelikelytobeattractedbysmall,fairgambles.Riskevaluationisreference-dependent,meaningiskevaluationdependsinpartonthewealthlevelandcircumstancesofthedecisionmaker,hisnotnecessarilytruethatanindividual'sutilityfunctionhasthesamecurvatureconsistently19110写43.舒etaQFriedman-Savagedouble-inflectionutilityfunctionUConcaveRiskAverseConvexRiskSeekingConcaveRiskAverseZ2(11C号a.wZgNeuro-Economics，Neuro-economicscombinesneurosciencepsychology,andeconomicsinattemptingtoexplainhowhumansmakeeconomicdecisions;,Neuro-economicsattemptstobridgethegapbetweenresearchondecisionbehaviorandeconomictheorybyunderstandingthebrainactivityofjudgmentandmakingchoices;，Itistheamygdalathatcreatesafightorflight"responseduringasuddeneventortrauma.Forinvestors,theamygdalamayberesponsibleforGpanickedresponseratherthanJnanalyticalresponsetoadroppingmarket:，Althoughneuro-ecoomicsresearchi$interestingandmayprovidefurtherinsightsintoindividualeconomicdecisionmakingitseffectoneconomictheoryremainstobeseenDevelopmentoftheTheoryPascal: 'expected*Bernoulli:Value O price UtiIityO estimateFranck Knight RiskO measurable Uncertainty notBoundedRationality22110Neumann&MorgensternMaximizeexpectedutilitySavage:Subjectiveexpectedutility写43.蟀LSlfiDecisionTheory-TraditionalFinanceDecisiontheoryisconcernedwithidentifyingvaluesprobabilities,andotheruncertaintiesrelevanttoJgivendecisionandusingthatinformationtoarriveJlJtheoreticallyoptimaldecisionThedevelopmentofthedecisiontheoryisasfollowing.TheinitialfocusofdecisiontheorywasonexpectedvalueExpectedvalueofanitemisbasedonitsPriCewhichisthesameforeveryonebecausethepricedependsonlyontheitemitselfExpectedutilityofanitemisbasedontheworthassignedtoitbythepersonmakingtheestimate;FrankKnightdefinesriskasrandomnesswithknowableprobabilitiesanduncertaintyasrandomnesswithunknowableprobabilities;23<110ThetheoriesofvonNeumannandMorgensternandSavage(SEU)extendthescopeofexpectedutilit,/theorytosituationsinwhichonlysubjectiveprobabilitiesareavailable.塞吐里保-EgBoundedRationality，Boundedrationality：recognizingthatpeoplearenotfullyrationalWhenmakingdecisionsanddonotnecessarilyoptimizebutrathersatisfice(definedbelow)whenarrivingatthei"decisions:Satisficingsatisfy'&suffice:isfindingonacceptablesolutionasopposedtooptimizingwhichisfindingthebest!optimal)solution:Theoptimalsolutionistheonethatmaximizestheutilityrealizablefromthesituation.，Decisionmakersmaychoosetosatisficeratherthanoptimizebecausethecostandtimeoffindingtheoptimalsolutioncanbeveryhigh，Whenaspirationsarereached,peopletendtoadjusttheaspirationsupward;whenaspirationsarenotreached,peopletendtoadjustdownward;DecisionsaremadeprogressivelyuntilthegoalstateisachievedThefirstdecisionismadetogetonestepclosertothegoalstatethenextdecisionresultsingettingstillclosertothegoal,anddecisionscontinuetobemadeuntilthegoalstateISmet.AnotherexampleISthedivide*andconquerprocedureProspectTheory-BehavioralFinance，Prospecttheoryhasbeenproposedasanalternativetoexpectedutilitytheory;，Prospecttheoryassignsvaluetogainsandlosses(changesinwealth),ratherthantofinalwealth,andprobabilitiesarereplacedbydecisionweights;Thevaluefunctionisdefinedbythedeviationsfromareferencepointandisnormallyconcaveforgains(implyingriskaversion),convexforlosses(risk-seeking),andsteeperforlossesthanforgains(lossaversion).Investorsareassumedt(PlaCeHgreaterValUeOna1。“thanOnaainQftheSameamountGiVenapotentiallossandgainOfequalSiZeSthTincreaseinUtilityass。CiatedWiththeDotentialgainisSmallerthanthedecreaseinUtilitV(i.e.disutility)associatedWiththeDotentialI。”InvestorstendtcfearIoSSeS.dcanbecomeskseeking(assumeriskierpositions)inanattempttoavoidthem.ValueProspectTheory-EditingProcessInprospecttheorybasedQndescriptiveanalysisofhowchoicesaremade,therearetvophasestomakingachoice:anearlyphasenwhichprospectsareframed(oredited)andasubsequentphasenWhiChprospectsdieevaluatedandchosen.Dependingonthenumberofprospects,theremaybeuptosixoperationsintheeditingprocess:CodificationPeopleperceiveoutcomesJSgainsandlossesrathethanfinalstatesofwealthorwelfare.Againorlossis.ofcoursedefinedwithrespecttosomereferencepoint.CombinationProspectsaresimplifiedbycombiningthePobubitiesassociatedwithidenticalgainsorlosses.Segregation:Therisklesscomponentofanyprospectisseparatedfromitsriskycomponent/Forexampleaprospectinitiallycodedas(300,0.8:200.0.2)isdecomposedintoasuregainof(200.1.0)andaIiSkyprospectof(100.0.8:0.0.20).Thesameprocessisappliedforlosses.Detectionofdominance:0UtconnesthatarestrictlydominatedareSCannedandrejectedwithoutfirtlherevaluation.28ILO亏业创新逸值ProspectPhaseU=w(P1)v(x1)PLBtheirrespectiveProbab小ticsisafunctionthatassignsavaluetoanoutconeisHprobabJty-weightingfunctionTheprobability-weightingfij11ctionexpressesthefactthatpeopletendtooverreacttosmallprobability*'11tsbutunderreacttomid-sizedandlaigeprobabilitiesThevaluefunctionissshaped;moreover;asitsasymmetryimpliesgiventhesamevariationinabsolutevaluethereisabiggerimpactoflossesthanofgainsQossaversion).29-110亏业创新港伯ShortCommentUtilitytheoryassumesriskaversion,prospecttheoryassumeslossaversion.TraditionalFinancevsBehavioralFinanceTraditional Finance Assumes:Behavioral Finance Assumes:Unlimited perfect knowledgeCapacity limitations on knowledgeUtility maximizationSatiSfiCeFully rational decision makingBounded rationality. Cognitive limitson decision makingRiSk avers