CFA三级必备知识点.docx

讲师:JCYBehavioralFinanceCFA三级必备知识点1.TraditionalFinancevs.BehavioralFinanceTraditionalFinancevs.BehavioralFinanceWithintraditionalfinance,individualsareassumedtoberisk-averse,self-interestedutilitymaximizers,(rational).Traditionalfinancefurtherhypothesizesthat,atthemarketlevel,PliCeSincorporateandreflectallavailableandrelevantinformation.Behavioralfinanceincludesbehavioraleconomics,investorPSyChoIOgy)behavioralSCiQnCQ)QXPQrimQntalQConomiCSJandCOgnitiVQpsychology.Thevarietyofapproachestakentoexamineinvestorbehavioraddstotheconfusionaboutwhatismeantbybehavioralfinance,(<e用al)behavioralfinancemicro(BFMI)examinesbehaviorsorbiasesthatdistinguishindividualinvestorsfromtherationalactorsenvisionedinneoclassicaleconomictheory./BFMIquestionstheperfectrationalityanddecision-makingprocessofindividualinvestors.orbehavioralfinancemacro(BFMA)considersmarketanomaliesthatdistinguishmarketsfromtheefficientmarketsoftraditionalfinance./BFMAquestionstheefficiencyofmarkets.TraditionalFinancevsBehavioralFinanceTraditionalFinanceAssumes:BehavioralFinanceAssumes:UnlimitedperfectknowledgeCapacitylimitationsonknowledgeUtilitymaximizationSatisficeFullyrationaldecisionmakingBoundedrationality.CognitivelimitsondecisionmakingRiskaversionLossaverseTraditionalFinancevsBehavioralFinanceUtilityTheoryTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothefouraxiomsOfutility:completeness,transitivity,independence,andcontinuity.RiskAverse(Intraditionalfinance,individualsareassumedtoberisk-averse.)Someonewhopreferstoinvesttoreceiveanexpectedvaluewithcertaintyratherthaninvestintheuncertainalternativethatgeneratesthesameexpectedvalueiscalledrisk-averse.Someonewhoisindifferentbetweenthetwoinvestmentsiscalled4sk-neutral.Someonewhopreferstoinvestintheuncertainalternativeiscalled4sk-Seeking.BoundedrationalityBoundedrationalityassumesthatindividuals'choicesarerationalbutaresubjecttolimitationsofknowledgeandcognitivecapacity,anddonotbehavewithperfectrationality(satisfice).Satisficing("satisfy"&"suffice")isfindinganacceptablesolutionasopposedtooptimizing,whichisfindingthebest(optimal)solution.Il 能司 39sra£JI0>eqCQ7BehavioralBiasesConservatismbiasConfirmationbiasCognitiveerrorsBeliefperseveranceRepresentativenessbiasIllusionofcontrolbiasHindsightbiasMentalaccountingbiasFramingbiasInformation-processingbiasesAnchoring&adjustmentBehavioralbiasesAvailabilitybias1.ossaversionbiasOverconfidencebiasSelf-controlbiasEmotionalbiasesStatusquobiasEndowmentbiasRegret-aversionbiasCognitiveErrorsandEmotionalBiasesABehavioralbiasesmaybecategorizedaseithercognitiveerrorsoremotionalbiases.ACognitiveerrorsCIn2duePFimellrilytofaultyccisoningCIndCoUlddFiscfrom口IcICkOfUndCTStelndingPnjPCrBtotMisICln口IyGiStechniques,informCItionprocessingmigtzkes,faulty3g0ning,ormemoryerrors.Cognitiveerrorsacemoreeasilycorrectedforbecausetheystemfromfaultyreasoningratherthananemotionalpredisposition.Cognitiveerrorscanbefurtherclassifiedintotwocategories:/beliefperseverancebiases/andinformation-processingbiases.AEmotionalbiasesstemfromimpulseorintuition;emotionalbiasestendtoresultfromreasoninginfluencedbyfeelings.EmotiOnalbiasesarehardertoCOrTeCtforbecausetheyarebasedonfeelings,whichcanbedifficulttochange.>Tomoderateabiasistorecognizethebiasandtoattempttoreduceoreveneliminatethebiaswithintheindividual.AToadapttoabiasistorecognizeandacceptthebiasandtoadjustforthebiasratherthantoattempttomoderatethebias.CognitiveErrors:BeliefPerseverance>Beliefperseveranceisthetendencytodingtoone'spreviouslyheldbeliefsirrationallyorillogically.Conservatismbias,peoplemcint口intheirPFiorViCWgOirforecastsbyin日dequ3telyincorpoatingnewinformation;Confirmationbias.Individualstendtonoticeonlyinformationthatagreeswiththeirperceptionsorbeliefs.ThCyIOokforconfirmingC)UidCncoWhilcjdiscountingorevenignoringevidencethatcontradictstheirbeliefsortheirperceptions;Representativenessbias,peopletendtoClcISsifvnewinfomotionbDcdepstCKPeTiCnCCS口ndCESSifistions.ThiSbiasoccursbecausepeopleattemptingtoderivemeaningfromtheirexperiencestendtoclassifyobjectsandthoughtsintopersonalizedcategories;Twoforms:baserateneglect,sample-sizeneglect.Illusionofcontrol.PGOPIGtendtobGiccthattheyCelncontroloinfluGno?OUtcomesWhCnjnfact,theysnnot.expectancyofapersonalsuccessprobabilityinappropriatelyhigherthantheobjectiveprobabilitywouldwarrant;Hindsightbias,abiaswithselectiveperceptionandretentionaspects.PeoplefH3yeeawev24ts日ShavingbeenPFediCtableandreasonabletoexpect.2008TemplateforQuestion2圜Donaldson'sstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaIdsonzSthreestatements.Note:Nobehavioralfinanceconceptcanbeusedmorethanonce,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldson'sinvestmentdecisionmaking."Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpropertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment/7NaivediversificationDonaldsonmayhaveboughtlateinthecycle,butbelievesthatcommercialpropertyvalueswillcontinuetoincrease.Donaldson,byrelyingontherepresentativenessheuristic,hasbecomeoverlyoptimisticaboutapastwinner.OverconfidenceRepresentativenessRegretavoidanceSelf-controlCognitiveErrors:InformationProcessing>Describinghowinformationmaybeprocessedandusedillogicallyorirrationallyinfinancialdecisionmaking.Anchoringandadjustment,theuseofapsychologicalheuristicinfluencesthewaypeopleestimateprobabilities.Whenrequiredtoestimateavaluewithunknownmagnitude,PeoPlegonornllybeginbyRnViSioningSomQinitialdefaultnumberan"anchor"WhiChtheythenadjustUPOrdowntoreflectsubsequentinformationandanalysis;Mentalaccountingbias,peopletreatoneSUmOfmoneydifferentlyfromanotherequal-sizedsumbasedonwhichmentalaccountthemoneyisassignedto;Framingbias,apersonQnSWQrSaqHestiendi#efeRtlybosodOnth。wayinWhiChitisasked(framed);Availabilitybias,peopletakeaheuristic(sometimescalledaruleofthumboramentalshortcut)approachtoestimatingtheProbabilityOfanOuomebasedorhOWeaSi屏the<HH©fne毛OmeStOmind.>Emotionalbiasesarehardertocorrectforthancognitiveerrorsbecausetheyoriginatefromimpulseorintuitionratherthanconsciouscalculations.Inthecaseofemotionalbiases,itmayonlybepossibletorecognizethebiasandadapttoitratherthancorrectforit.Lossaversionbias,peopletendtoStlOngIyPrefOravoidingIoggeSa$OPPC)EedtoGChieVinggains.Anumberofstudiessuggestthat,psychologically,lossesareSignifiCantlymOrePOWerfUlthangains;Overconfidencebias.PCoPlCClCmGnStG3tcUnWoIT口ntcdfithintheirOWnintuitiverccgoning,judgments,and/orcognitiveabilities.Thisoverconfidencemaybetheresultofoverestimatingknowledgelevels,abilities,andaccesstoinformation./PredictionoverconfidenceIeadstounderestimatingriskandsettingconfidenceintervalstoonarrow.Srtaiftyoverconfidencerelatestoover-statedprobabilitiesofsuccess;/Self-attributionbias,thecombinationOfself-enhancingbiasandself-protectingbias,Contributestooverconfidence.Byself=er>hancing,Individualstakeallthecreditfortheirsuccesses.Byself-protecting,theyplacetheblameforfailureonsomeoneorsomethingelse.写业创新增值_Self-controlbias,peoplefailtoactinpursuitOftheirIong-term,OVenarchinggoalsbecauseOfelaCkOfself-discipline.Thereisaninherentconflictbetweenshort-termsatisfactionandachievementofsomelong-termgoals.Statusquobias,anemotionslbicsinWhiChPee)Pledonothing(ie,mir>tdinthe"statusquo")insteadOfmaking日change.Peopleartgenerallymorecomfortablekeepingthingsthesamethanwithchangeandthusdonotnecessarilylookforopportunitieswherechangeisbeneficial.Endowmentbias,peopleVAlUeanassetmoreWhentheyholdMght5toitthanWhQntheydonot.EndoWmentbiasisInconsistentwithstandardeconomictheory,whichassertsthatthepriceapersoniswillingtopay-foragoodshouldequalthepriceatwhichthatpersonwouldbewillingtosellthesamegood.Regret-aversionbiasoccursWhenmsrketPartiCiPantSdonothingC)Utofeces5fearthatactionsCoUldbewrong.Simplyput,peopletrytoavoidthepainofregretassociatedwithbaddecisions.圜APabloRodriquezisanadvisoratabrokeragefirmwithretailclientswhoareactivetraders.HeacquiresfourclientsfromCarlaCheezanadvisorwhoisretiringfromthefirm.Overtheyears,Cheeregularlysurveyedherclientstodetectanybehavioralbiasesintheirinvestmentdecision-makingprocesses.ShedeterminedthatherclientsroutinelyexhibitedthebiasessummarizedinExhibit1.Exhibit1CheeClients:BehavioralBiasesClientBiasClient1Regret-aversionClient2Loss-aversionClient3MentalaccountingClient4FramingRodriquezbelievesthatclientsactprimarilyonthebasisoftheirbiases.HemeetswiththeclientstoevaluateChee,sassessmentsoftheirbiases.AClient1andClient2:RodriquezasksClient1andClient2toConsidertwoequities,UnoInc.andDeuxCo.,whicheachhadpurchasedfortheirrespectiveportfolios.ThepurchasepriceandcurrentpriceareshowninExhibit2.Neitherequitypaysdividends.Exhibit2SelectedEquityHoldings(inUSD)EquityPurchasePriceCurrentPriceUnoInc.5566DeuxCo.6048ANSWERQUESTIONIl-AINTHETEMPLATEPROVIDEDONPAGE71.A.Determine,assumingChee'sbiasassessmentsarecorrect,whichaction(buyadditionalshares,takenoaction,sell)eachclientwillmostlikelychooseforeachofthefollowingequities:I.UnoInc,II.DeuxCo.Justifyeachresponse.Note:Considereachclient(Client1andClient2)andeachequityindependently.(12minutes)Client(Bias)EquityDetermine,assumingCheeiscorrect,whichactioneachclientwillmostlikelychooseforeachofthefollowingequities,(circleone)Justifyeachresponse.Client1(Regretaversion)UnoInc.buyadditionalsharesrwactio2>ScllAninvestorwitharegret-aversionbiastendstoavoidmakingadecisionoutoffearthatthedecisionwillturnoutpoorly.Client1wouldlikelytakenoaction,inordertoavoidtheregretthatwouldcomefrommissingfurtherpriceappreciationinUno.DeuxCo.buyadditionalshares2kenoactionsellAninvestorwitharegret-aversionbiaswantstoavoidthepainofregretresultingfromapoorinvestmentdecision.Client1wouldIikelytakenoactioninordertoavoidtheregretthatwouldcomefrommissingapossiblerecoveryinthepriceofDeux.Client2(Lossaversion)UnoInc.buyadditionalsharestakeFiQactionsellAninvestorwithaloss-aversionbiastendstoSufferfromthedispositioneffect,whichisthetendencytorealizegainsearlyanddelayrecognizinglosses.Theinvestorfeelstheimpactofalossmuchmorestronglythantheimpactofasimilargain.Theinvestormayalsosellthestrongperformertoavoidanyfurtherperceivedrisk,regardlessofpotentialfuturepriceappreciation.Client2islikelytosellUnotorecognizethe20%gain.Client2(Loss-aversion)DeuxCo.buyadditionalsharesCkenoaction7>sellAninvestorwithaloss-aversionbiastendstosufferfromthedispositioneffect,whichisthetendencytorealizegainsearlyanddelayrecognizinglosses.Theinvestoroftenholdsinvestmentsinalosspositioninthehopethattheywillreturntobreakeven,despitethepotentialriskofevenfurtherpricedeclines.Client2wouldlikelytakenoactionandhopetorecoverthe20%lossinDeux.B3.BehaviorallyModifiedAssetAllocationSuggestedDeviationFromARationalPortfolioCognitivebiasEmotionalBiasHighwealth/lowSLRModestchanges+/5to10%maximumperassetclassLargerchanges+/10to15%maximumperassetclassLowwealth/highSLRclosetotherationalassetallocation+/0to3%maximumperassetclassModestchanges+/5to10%maximumperassetclass*SLR-standardoflivingrisk2018-GuidelineAnswer:TemplateforQuestion4-C>Sarahasahighstandardoflivingrisk.Andherquestionnaireindicatesthatherpotentialbehavioralbiasisrepresentativeness.ABeechprovidesJohnwithamean-varianceoptimizedportfolio.BasedonJohn'sstandardoflivingriskandhispotentialbehavioralbias,Beechalsoproducesabehaviorallymodifiedportfolio.Theassetclassweightsofthemodifiedportfoliodifferfromthoseoftheoptimizedportfolioby+/-10%.BeechthenrepeatstheprocessforSara,preparingbothamean-varianceoptimizedportfolioandabehaviorallymodifiedportfolio.DeterminethemostlikelyamountbywhichtheassetclassweightsofSara'stwoportfolioswilldiffer.(circleone)lessthan+/-10%equalto+/-10%greaterthan+/-10%Justifyyourresponse.圜2018-GuidelineAnswer:TemplateforQuestion4-CThedecisiontomoderateoradapttoaclientsbehavioralbiasesdependsontwofactors:thestandardoflivingrisk/levelofwealth(highorlow)andthetypeofbias(emotionalorcognitive).Sara,withahighstandardoflivingrisk,isatriskoffailingtoachievehergoals,soherbehaviorallymodifiedportfolioshouldbeclosertoamean-varianceoptimizedportfolio.Inaddition,becauseherbiasiscognitive(representativeness),betterinformationcanhelptocorrectit(i.e.zmoderatingthebiasismorelikelytobesuccessful).Assuch7withtheappropriateeducation,Sarashouldbeabletoadjustherbehaviorandtolerateaportfoliothatmorecloselymatchesarational(mean-varianceoptimized)allocation.ThiswouldleadSaratohaveaportfoliowithlessthana+/-10%differenceinherassetclassweightstotherationalallocation.4.Investors'BehavioralModelsBehavioralModelsPompianBehavioralModelGeneraltypePassiveActiveRisktoleranceLowHighInvestmentstyleConservativeModerateGrowthAggressiveBiastypesEmotionalCognitiveCognitiveEmotionalBITsPassivePreserver(PP)FriendlyFollower(FF)IndependentIndividualist(II)ActiveAccumulator(AA)EmotionalbiasEndowmentLossaversionStatusquoRegretaversionRegretaversionOverconfidenceandself-attributionOverconfidenceSelf-controlCognitivebiasMentalaccountingAnchoringandadjustmentAvailabilityHindsightFramingConservatismAvailabilityConfirmationRepresentativenessIllusionofcontrol专业创新增值一