CFA三级写作课后题（2020.12）2.docx

2020年12月CFA三级写作题BEHAVIORALFINANCE今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个Reading重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!BehavioralFinanceCase1:ProfessorMehulLiuProfessorMehulLiuteachesseveralbehavioralfinancecoursesatalocaluniversity.Inhiscurrentlecture,hediscusseshowbehavioralfinancediffersfromtraditionalfinance.1.iudiscusseshowloss-averseinvestorsassessriskandreturn.Liuthenpresentstwoinvestmentchoicestothestudents:Exhibit1InvestmentExpectedReturnExpectedRangeofReturnsA6%0%to11%B12%-10%to20%Thetopicofanotherlectureisprospecttheory.Liupresentsthestudentswiththefollowingtwosituationsandasksthemiftheywouldacceptorrejecteachone:Situation1A50%probabilityofwinning$10,000anda50%probabilityoflosing$4,000Situation2A50%probabilityofwinning$10,000anda50%probabilityoflosing$8,000ThestudentsvotetoacceptSituation1butrejectSituation2.Liuthenpresentsathirdsituation:Situation3Choosingbetweenlosing$12,000with100%certainty,oracceptingagamblethatOfferSa50%probabilityofwinning$6,000anda50%probabilityoflosing$24,000ThestudentsvotetoacceptthegambleinSituation3.AstudentmeetswithLiuafteroneofhislectures.Thestudentisparticipatinginamockinvestmentcompetitionthatrequiresparticipantstocreateandmanageafictitiousequityportfolio.Eventhoughinternationalequitiesareavailableasaninvestableassetclass,thestudentelectstoinvestherentireportfolioindomesticequities.1.iuasksthestudentifshehaseverconsideredincludinginternationalequitiesinhercompetitionportfoliogiventheirdiversificationbenefitsandhigherexpectedreturnsthandomesticequitiesbasedoncurrentconsensusgrowthforecasts.Thestudentrespondsthatshehasnotconsideredinternationalequitiesbecauseshehasnottakenanycoursesininternationalinvestmentsthatcouldprovideherwithexpertiseinthisarea.Thestudentalsoindicatesthatshehasthetimeandresourcestoresearchonlydomesticcompanies.1.iupresentsthefollowinghypotheticalscenarioduringalectureonbehavioralportfoliotheory(BPT).AnnLundstrom,afictitioustechnologyentrepreneur,isaBPTinvestorwhoisdevelopingherportfolio.Thisportfoliowillcontaintwolayers:alayerofrisklessinvestmentsandalayerofspeculativeinvestments.Therisklesslayerwillearn0.50%,andtheprobabilitydistributionoftheexpectedreturnonthespeculativelayerisshowninExhibit2.Exhibit2SpeculativeInvestmentLayerReturn/ProbabllityExpectedReturnProbability-2S%10%12%60%50%30%1.undstromplanstoinvest$1,000,000andhasanaspirationallevelof$1,050,000withaprobabilityof75%.Shecantoleratesomepotentiallossinwealthbutnotmorethan$100,000(minimumportfoliovalueof$900,000).Exhibit3presentstwopotentialportfolioallocationsforthisscenario.Exhibit3PortfolioAllocationsLayerAllocation1Allocation2Riskless59%90%Speculative41%10%1.DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer.Justifyyourresponse.DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer,(circleone)Justifyyourresponse.InvestmentAInvestmentBSolution:DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer,(circleone)Justifyyourresponse.InvestmentAInvestmentBAloss-averseinvestorwillmostlikelypreferInvestmentAandacceptalowerexpectedreturntoavoidthepotentialriskoflosspresentedbyInvestmentB.Theloss-averseinvestorislikelywillingtoacceptalowerexpectedreturntoavoidanypossibilityofincurringaloss.2.Explainhowthevotingresultsineachofthethreesituationsareconsistentwithprospecttheory.ii.RejectingSituation2iii.AcceptingthegambleinSituation3Solution:Prospecttheoryisanalternativetoexpectedutilitytheory.Thistheorydescribeshowindividualsmakechoicesinsituationsinwhichtheymustdecidebetweenalternativesthatinvolveriskandhowtheyevaluatepotentiallossesandgains.Prospecttheoryconsidershowalternativesareperceivedbasedontheirframing,howgainsandlossesareevaluated,andhowuncertainoutcomesareweighted.i.AcceptingSituation1Mostpeoplerejectagamblewithevenchancestowinandloseunlessthepossiblewinisatleasttwicethesizeofthepossibleloss.Inthisgamble,thepossiblewinis2.5timesthepossibleloss,sothestudentvotetoacceptSituation1isconsistentwithprospecttheory.AcceptingSituation1isconsistentwithprospecttheorybecauseexperimentalevidenceshowsthatmostpeoplerejectagamblewithevenchancestowinandlose,unlessthepossiblewinisatleasttwicethesizeofthepossibleloss.ii.RejectingSituation2Mostpeoplerejectagamblewithevenchancestowinandloseunlessthepossiblewinisatleasttwicethesizeofthepossibleloss.InSituation2,thechancestowinandlosearethesamebutthepossiblewinisonly1.25timesthepossibleloss.ThusthestudentvotetorejectSituation2isconsistentwithprospecttheory.RejectingSituation2isconsistentwithprospecttheorybecauseexperimentalevidenceshowsthatmostpeop