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CFA三级Behavioral Finance教材Reading 5课后题：
The following information relates to Questions 1–6 Mimi Fong, CFA, a private wealth manager with an assetmanagement firm, has been asked to make a presentation to her colleaguescomparing traditional and behavioral finance. She decides to enliven herpresentation with statements from colleagues and clients. These statements areintended to demonstrate some key aspects of and differences between traditionaland behavioral finance. 1. Statement 1 (from a colleague): “When newinformation on a company becomes available, I adjust my expectations forthat company’s stock based on past experiences with similar information.”
2. Statement 2 (from a client): “When consideringinvestments, I have always liked using long option positions. I like theirrisk/return tradeoffs. My personal estimates of the probability of gains seem tobe higher than that implied by the market prices. I am not sure how to explainthat, but to me long options provide tremendous upside potential with little risk,given the low probability of limited losses.”
3. Statement 3 (from a client): “I have always followed abudget and have been a disciplined saver for decades. Even in hard times when Ihad to reduce my usual discretionary spending, I always managed to save.”
Statement 4 (from a colleague): “While I try to make decisions analytically, I dobelieve the markets can be driven by the emotions of others. So I havefrequently used buy/sel ignals when investing. Also, my 20 years of experiencewith managers who actively trade on such information makes me think they areworth the fees they charge.”
Statement 5 (from a colleague): “Most of my clients need a well-informed advisor toanalyze investment choices and to educate them on their opportunities. Theyprefer to be presented with three to six viable strategies to achieve theirgoals. They like to be able to match their goals with specific investmentallocations or layers of their portfolio.”
Statement 6 (from a client): “I follow a disciplined approach to investing. When astock has appreciated by 15 percent, I sell it. Also, I sell a stock whenits price has declined by 25 percent from my initial purchase price.”
Statement 7 (from a client): “Overall, I have always been willing to take a smallchance of losing up to 8 percent of the portfolio annually. I can accept anyasset classes to meet my financial goals if this constraint is considered. Inother words, an acceptable portfolio will satisfy the following condition:Expected return – 1.645 × Expected standard deviation ≥ –8%.”
Which of the following statements is most consistentwith expected utility theory?
A. Statement 1. B. Statement 2. C. Statement 3
A. C iscorrect. Statement 3 is most consistent with expected utility theory. Theclient exhibits self-control and is able to defer consumption. This client isconsidering short-term and long-term goals and attempting to maximize thepresent value of utility. In Statement 1, beliefs are being updated usingheuristics rather than Bayes’ formula. Statement 2 is consistent with prospecttheory; the client is overweighting the probability of a high financial impactoutcome (gains on options) and underweighting the probability of a loss (theoption premium cost).
我不太明白为什么是C的表述是正确的。A表述有什么问题吗？
The client of Statement 6 is mostlikely behaving consistently with:
A. prospecttheory. B. expected utility theory. C. behavioralportfolio theory
C is correct. Theclient of Statement 6 is behaving consistently with behavioral portfolio theory.The client sells and holds a stock not because of the stock’s potential,but rather from a fear of the stock declining in value and gainsdissipating and an aversion to realizing losses. Loss-aversion in prospecttheory is discussed from a different perspective.
这题我觉得答案解释的也很奇怪。表述中明明体现的就是LOSS AVERSION，上涨15%就卖，下跌25%才卖。BPT明明是个根据不同目标投资的理论，体现的是MENTAL ACCOUNTING 和CLASSIFYING WEALTH啊。怎么会是这个呢
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