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.Anequitymarketneutralst