CFA三级基础班：行为金融学_打印版.docx

CFA三级培训项目Topic in CFA Level lStudy Session 1-2ETHICS & PROFESSIONAL STANDARDS (1)&(2)Study Sssion 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 14Study Session 15Study Session 16BEHAVIORALFINANCECAPITALMARKETEXPECTATIONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOUOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOUOMANAGEMENT(1(2)EQUITYPORTFOLIOMANAGEMENT(1：.&2：ALTERNATIVEINVESTMENTSFoRPORTFOUOMANAGEMENTStudySession12-13PRIVATEWEALTHMANAGEMENT&(2PortfouoMANAGEMENTforinstitutionalinvestorsTRADING.PERFORMANCEEVALUATION.ANDMANAGERSELECTIONcasesinPortfouomanagementandriskmanagementBehavioralFinanceSuccessKeys：RememberKeyWordsStudySomeCasesofTheseKeyWords.ExplaintheKeyWordsinOneSentenceRecommendationsMuchoftheterminologyisrdntinthatmoreIhJnonetermcanmeanthesamethingManyoftheconceptsareoverlapping,andmostofthequestionsdependheavilyonComprehendirigtheterminology.YoUIfocusshouldbeonunderstandingthebasicmeaningofeachtermasgiveninthematerial.与4瓦新刀值 FrameworkBehavioral Finance5-109“SS3:BehavioralFinanceR7TheBehavioralFinancePerspectiveR8TheBehavioralBiasesofIndividualsR9BehavioralFinanceandInvestmentProcessesThe Behavioral Finance PerspectiveSdI-5.ffi-RtfiTraditionalFinancevs.BehavioralFinanceWithintraditionalfnae.individualsareassumedtoberisk-averseselfinterestedutilitymaximizersrationalTraditionalfinancefurtherhpotlesizesthatatthemaketIeveDriCeSincorDorateandreflectallavailableandrelevantinformationBehavioralfinan<reincludesbehavioraleconomicinVVStorDWChOlov,behavioralscience,experimentaleconomics,andCognitiVePSVChoIQQVThWv3iwtyofapproachestakentoexamineinvestorbehavioraddstotheconfusionaboutwhatismeantbybehavioralfinance,normalbehavioralfinancemicro(BFMDexaminesbehaviorsorbiasesthatdistinguishindividualInvestorsfromtherationalactorsenvisionedinneoclassicaleconomictheory.BFMIquestionstheefectrationalityanddecision-makingprocessofindividualinvestors.orbehavioralfinancemacro(BFMA)considersmarketanomaliesthatdistinguishmarketsfromtheefficientmarketsoftraditionalfinance.7109yBFMAquestionstheefficiencyofmarkets.巨鱼新言IfiDecision-MakingProcessTbprovideaframeworkforunderstandingtheimplicationsofthedecisionmakingprocessforfinancialmarketpractitioners.WRwilluseanapproach,developedbydecisionPieorist1HowardRaiffa.“Heusesthetermsnormativeanalvsis,descriptiveanalysis,DreSCriDtiVeNormativeanalysisISconcernedwiththerationalsolutiontotheproblemathand.Itdefinesanidealthatactualdecisionsshouldstrivetoapproximate.DescriptiveanalysisISconcernedWilhthemannerinwhichrealpeopleactuallymakedecisions.Prescriptiveanalysisisconcernedwithpracticaladviceandtoolsthatmighthelppeopleachieveresultsmorecloselyapproximatingthoseofnormativeanalysis.Traditionalfinanceassumptionsaboutbehaviorasnormative.Behavioralfinanceexplanationsofbehaviorsasdescriptive.8109Effortstousebehavioralfinanceinpracticeasprescriptive.写42.wIStfiCognitiveErrorsorEmotionalBiasesBehavioralbiasescanbecategorizedascognitiveerrorsoremotionalbiases.Cognitiveerrorsstemfrombaskstatistical,information-processing.ormemoryeos;cognitiveerrorsmaybeconsideredtoresultfromreasoningbasedonfaultythinking.Emotionalbiasesstemfromimpulseorintuition;emotionalbiasesmaybeconsideredtoresultfromreasoninginfluencedbyfeelings.“Behavioralbiases,cognitiveoremotional,maycausedecisionstodeviatefromtherationaldecisionsoftraditionalfinance.Tra.FinancePerspectivesonlndiv.BehaviorTraditionalfinanceconceptsmaybethoughtofasnormative,indicatinghowpeopleandmarketsshouldbehave.Investorsareassumedtoberationalinvestors3kedecisionsconsistentv.ithUtilitVth&orvandreviseexpectationsupdatebeliefs：consistentwithBaVeSformUla10lJ9，Theyarefurtherassumedtobeself-interestedandrisk-averse,tohaveaccess:toperfectinformation,andtoprocessallavailableinformationinanunbiasedway.号且科：XUtilityTheoryTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothefouraxiomsofutility:completeness,transitivity,independence,andcontinuity.CompletenessChoicesJndpreferencesareknownyTheindividualisawareofallavailablechoicesandcanvalueJndassignpreferencestoeach,suchthatbetweenanytwochoices,theindividualprefersoneovertheotherorisindifferentbetweenthem.TransitivityRankingsareappliedconsistently.11-109/IftheinvestorprefersChoiCeXtochokeYandpreferschoiceYtochokeZ,theinvestorwillpreferchoiceXtochoiceZ.写42.WIStfiUtilityTheory“Independence:Utilitiesareaddhiveanddivisible.AddingchoiceZtobothXandYwillnotaffectthepreferencerankingofXandY.Iflforexample,theinvestorprefersXtoYandweaddZtobothchoices,theinvestorwillprefer(X+Z)over(Y+Z).Also,assumingtheinvestorprefersXtoYifJnyportion,p1ofZisaddedtoXandY1theinvestor'spreferencerankingdoesnotchange.Theinvestorwillprefer(X+pZ)to(Y+pZ).Iftherankingisbasedonthesizeoftheproportion,thechoicesarenotindependent.Continuity:Indifferencecurvesaresmoothandunbroken.Assumetherearethreechoices.L.M,andN1suchthattheinvestorprefersLtoMandMtoN.TheremustbeacombinationofLandN(portionsaandb)thatmakestheinvestorindifferentbetweenQL+bN)andM.Thisensuresthatindifferencecurvesareunbroken(i.econtinuous).Bayes,FormulaTheFormulais:PBHPXlB)=!*P(J)1RBlwhere=ConditionaIprobabilityofeventAgivenB.ItistheupdatedFMlghllityofAgiventhenewinforcnatonB=conditionalprobabilityofEgivenA.Itistheprobabilityofthenew谓制向EiOnBgivenA.=prior(unconditional)probabilityofinformationBevent A,尸151=PriQlPlObabiIityQfeventA.withoutnewHifoimationB.Thisisthe13109I抨qieofbaseprobabilityof巨鱼新言IfiMakingDecisionsinAPerfectWordInaperfectworld,whenpeoplemakedecisionsunderuncertainty,theyareassumedtodothefollowing:Adheretoteaxiomsofutilitytheory;BehaveinsuchawayastoassignGprobabilitymeasuretopossibleevents;IncorporatenewinformationbyconditioningprobabilitymeasuresaccordingtoBayes*formula;Chooseanactionthatmaximizestheutilityfunctionsubjecttobudgetconstraints(consistentlyacrossdifferentdecisionproblems)withrespecttothisconditionalprobabilitymeasure.14-109Homoeconomicsorrationaleconomicman(REM):Principlesofperfectrationality,perfectself>interestandperfectinformationgovernREM'seconomicdecisions.写42.w13tfiRiskAverseExpectedutilitytheoryCjeneraIIyassumesthatindividualsareisk-averse.ThismeansthatJnindividualmayrefuseafairwager,(awagerwithanexpectedvalueofzero),andalsoimpliesthathisutilityfunctionsareconcaveandshowdiminishingmarginalutilityofwealth;GiventwochoicesinvestingtoreceiveanexpectedvaluewithcertaintyorinvestinginanuncertainalternativethatgeneratesthesameBXpeCtedvalue一someonewhopreferstoinvesttoreceiveanexpectedvaluewithcertaintyratherthaninvestintheuncertainalternativethatgeneratesthesameexpectedvalueiscalledrisk*averseSomeonewhoisindifferentbetweenthetwoinvestmentsisCdlledriskneutralSomeonewhopreferstoinvestintheuncertainalternativeiscalledriskseeking“Intraditionalfinance,individualsareassumedtoberisk-averseUtilityFunctionofWealth，AconcaveutilityfunctionmeansthatutilityincreasesatadecreasingIa记withincreasesinv/ealth;therisk*aveseindividualhasadiminishingmarginalutilityofwealtlAconvexutilityfunctionmeansthatutilityincreasesatanincreasingratewithincreasesinwealth;therisk-seekingindividualhasanincreasingmarginalutilityofwealth.ThedegreeUfriskavEsioncanbemeasuredbythecurvatureoftheutilityfunction.16109巨鱼新与值ChallengestoTraditionalFinanceandtheREM，ThosewhochallengeREMdosobyattackingthebasicassumptionsofperfectinformation,perfectrationality,andperfectself-interest.SomeofthebehavioralchallengestoREMinclude:Boundedrationalityassumesthatindividualschokesarerationalbutaresutyecttolimitationsofknowledgeandcognitivecapacity,anddonotbehavewithperfectrationality;PeQPIehavedifficultyprioritizingShOrt-term(SPending)goalsovelong-term(spendingversussaving)goalsanddonotbehavewithperfectself-interestItisintuitivelyobviousthatmanyeconomicdecisionsaremadeintheabsenceofperfectinformationanddonotbehavewithperfectinformation(monetarypolicy);Wealthutilityfunctionsmaynetalwaysbeconcaveasassumedbyutilitytheory,andindividualscansometimesexhibitriskseekingbehavior.ChallengestoUtilityMaximizationIndifferencecurveanalysismayincorporatebudgetlinesorconstraints,whichrepresentrestrictionsonconsumptionthatstemfromresourcescarcity;IfthetwoitemsaeperfectsubstitutesthentheindividualiswillingtotradeonefortheotherinJfixedratio;then,theindifferencecurveisalinewithaconstantdopereflectingthemarginalrateofsubstitution;，Ifthetwoitemsar÷perfectcomplements,thenthecurvewouldbeL-shaped.Anadditionalamountofeithergoodaddsnoextrautilitybecausethegoodsareonlyusedincombination:Riskplaysanimportantpartinmakingutility-maximizingdecisionsChallengestoAttitudesTowardRiskAssumiiKithatindividualsarerisk-averseandthatutilitycurvesareconcaveandexhibitdiminishingmarginalUIilitVSEemSreasonablebutobservedbehaviorsarenotalwaysconsistentwiththeassumptionofanindividualwhoisconstantlyrisk-averseSUlhasbuyingIoshiElNsqHSLM3einwhiche>e<tedutilityislowbutPeQPleevenwithIQWomes)paHicipateinthepurchase;IfaninvestmentCffelSafeextremelylargeprizes,itsattractivenessisincreasedfarbeyondtheaggregatevalueoftheprizes，ThosewithlessincomePrefeleithercelaint>*oariskthatoffersasmallchanceofalargegaintoaIiSkthatismoderate;/Middle-incomepeoplearemorelikelytobeattractedbysmall,fairgambles.Q，Riskevaluationisreference-dependent,meaningIiSkevaluationdependsinpartonthewealthlevelandcircumstancesofthedecisionmakerItisnotnecessarilytruethatanindividual'sutilityfunctionhasthesamecurvatureconsistently19I°9iff'；sia20-109Friedman-Savagedouble-inflectionutilityfunction号a.W3虫Neuro-EconomicsNeuro-economicscombinesneuroscience,psychology,andeconomicsinattemptingtoexplainhowhumansmakeeconomicdecisions;Neuro-economicsattemptstobridgethegapbetweenresearchondecisionbehaviorandeconomictheorybyunderstandingthebrainactivityOfjudgrnentandmakingchokes;Itistheamygdalathatcreatesafightorflight'responseduringasuddeneventortrauma.Forinvestors,theamygdalamayberesponsibleforapanickedresponseratherthanananalyticalresponsetodroppingmarket;"Althoughneuro-economksresearchisinterestingandmayprovidefurtherinsightsintoindividualeconomicdecisionmaking;itseffectoneconomictheoryremainstobeseenDevelopmentoftheTheoryI Pascal: ,*expected'*Bernoulli:ValuePIiCeUtility.estimateFranckKnightRiskmeasurableUncerraintYnotBoundedRationality22109Neumann&MorgensternMaximizeexpectedutilitySavage；Subjectiveexpectedutility巨鱼新与值DecisionTheory-TraditionalFinance“Decisiontheoryisconcernedwithidentifyingvalues,probabilities,andotheruncertaintiesrelevanttoagivendecisionandusingthatinformationtoarriveattheoreticallyoptimaldecision.ThedevelopmentofthedecisiontheoryisGSfollowing.TheinitialfocusofdecisiontheorywasonexpectedvalueExpectedvalueofanitemisbasedonitsprice,whichistheSameforeveryonebecausethepricedependsonlyontheitemitselfExpectedutilityofJnitemisbasedontheworthassignedtoitbythepersonmakingtheestimate;FrankKnightdefinesriskasrandomnesswithknowableprobabilitiesanduncertaintyasrandomnesswithunknowableprobabilities.23-109ThetheoriesofvonNeumannandMorgensternandSavage(SEU)extendthescopeofexpectedUtiIitytheorytosituationsinwhichonlysubjectiveprobabilitiesareavailable.写42.WIStfiBoundedRationality厂BoundedrationalityrecognizingtintpeopleaenotfullyrationalwhenmakingdecisionsanddonotnecessarilyoptimizebutratherSatiSfiCe(definedbelow)whenarrivingattheirdecisions;Satisficingsatisfy"&suffice)isfindinganacceptablesolutionasopposedtooptimizing,WhiChisfindingthebest(optimal)solution;Theoptimalsolutionistheonetlatmaximizestheutilityrealizablefromthesituation.Decisionmakersmaychoosetosatisficeratherthanoptimizebecausethecostandtimeoffindingtheoptimalsolutioncanbeveryhigh;Whenaspirationsarereached,peopletendtoadjusttheaspirationsupward;whenaspirationsarenotreached,peopletendtoadjustdownward;，DecisionsaremadeprogressivelyuntilthegoalstateisachievedThefirstdecisionismadetogetonestepclosertothegoalstate,thenextdecisionresultsingettingstillclosertothegoal,anddecisionscontinuetobemadeuntilthegoalstateismet.Anotherexampleisthedivide-and-conquerprocedureProspectTheory-BehavioralFinance，Prospecttheoryhasbeenproposedasanalternativetoexpectedutilitytheory;，ProspecttheoryassignsvaluetogainsandIOSSeS(changesinwealth),ratherthantofinalwealth,andprobabilitiesarereplacedbydecisionweights;Thevaluefunctionisdefinedbythedeviationsfromareferencepointandisnormallyconcaveforgains(implyingriskaversion),convexforlosses(risk*seeking).andsteeperforlossesthanforgains(lossaversion),Investorsareassumedt<DlaCeagreaterValUeOnaIoSSthanOnagainOfIheSamnamountGivenJpotentialIoSSandgainofequalsizestheincreaseinUtilityassociatedWiththeDotentialOainisSmaHSrthanthedecreaseinUtilitV(i.e.disutility)associat&dWiththeDOtentiallOSSInvestorstendtcfearlossesJndcanbecomeriskseeking(assumeriskierpositions)inJnattempttoavoidthem.26-109写 4 2.W 13tfiProspectTheory-EditingProcess，Inprospecttheorybasedondescriptiveanalysisofhowchokesaremade,therearetwophasestomakingJchoice:Jnearlyphasenwhichprospectsarefamed(oreditedandasubsequentphasenWhiChprospectsareevaluatedandchosen.Dependingonthenumberofprospects,theremaybeuptosixoperationsintheeditingprocess:CodificationPeopleperceiveoutcomesasgainsandlossesratherthanfinalstatesOfwealthorwelfare.Againorlossis,ofcourse,definedwithrespecttosomereferencepointCombination:ProspectsaresimplifiedbycombiningtheprobabilitiesOssociatedwithidenticalgainsolosses.SegregationTherisklesscomponentofanyprospectisseparatedfromitsriskycomponent./Forexample.Qprospectinitiallycodedas(300,0.8;200,0.2)isdecomposedintoasuregainof(200,1.0)andariskyprospectof(100.0.8;0,0.20).Thesameprocessisappliedforlosses.Detectionofdominance:0utcomesthatarestrictlydomiatedarescannedandrejectedWithoUtfrtlherevaluation.2021CFA&FRM更新通知微信:xuebajun888s28-109亏业创新诏值ProspectPhaseU=W(PI)V(XI)+w<PJ)y(2)+.Where:X"Xarethepotentialoutcomes,p.theirrespectiveprobabilities29TO9亏业创新。港餐ShortCommentUtilitytheoryassumesriskaversionprospecttheoryasumeslossaversion.Prospecttheoryfurtherrelaxestheassumptionofriskaversionandinsteadproposeslossaversion.IYospecttheioryissuitedtoanalyzinginvestmentdecisionsandriskItfocusesontheframingofdecisionsaseithergainsorlossesandweightinguncertainoutcomes.亏业创新逸N31109TraditionalFinanceVSBehavioralFinanceTraditionalFinanceAssumes:BehavioralHnanceAssumes:UnlimitedperfectknowledgeCapacitylimitationsonknowledgeUtilitvmaximizationSatisficeFullyrationaldecisionmakingBoundedrationality.CognitivelimitsondecisionmakingRiSkaversionLossaverse巨4鱼哥RtfiTradition