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1、CFA三级培训项目QTopic in CFA Level IIIStudy Session i-2Study Sssion 3Study Session 4ETHICS & PROFESSIONAL STANDARDS (1&BEHAVIORAL FINANCECAPAL MARKET EXPECTATIONS ( NEW】Study Session 5Study Session 6Study Session 78Study Session 9-10Study Session UStudy Session 12*13Study Session 14Study Session 15Study S
2、ession 16ASSETALLOCA11ONANDRELATEDDECISIONSINPORTFOUOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOUOMANAGEMENTI&：2)EQUITYPORTFOUOMANAGEMENT(1：.&(2)ALTERNATIVEINVESTMENTSFORPORTFOUOMANAGEMENT(NEWPRIVATEWEALTHMANAGEMENT(l)8c(2)(NEW)PORTFOUOMANAGEMENTFOR1NST11U11ONALINVESTORS【NEW)TRAD
3、INGPERFORMANCEEVALUATIONANDMANAGERSELECTION(NEWCASESINPORTFOUOMANAGEMENTANDRISKMANAGEMENTNEW Behavioral Finance Success Keys: Remember Key Words Study Some Cases of These Key Words Explain the Key Words in One Sentence” Recommendations Much of the terminology is redundant in that more than one term
4、can mean the SJme thing. Many Of the concepts are overlapping, and most of the questions depend heavily on comprehending the terminology.Your focus should be on understanding the basic meaning of each term as given in the material.4-HO旨工新章9 FrameworkBehavioral Finance SS3: Behavioral Finance R7 The
5、Behavioral Finance Perspective R8 The Behavioral Biases of Individuals R9 Behavioral Finance and Investment Processes5-110宣2.W -:SIaTheBehavioralFinancePerspectiveTraditionalFinancevs.BehavioralFinanceWithintraditionalfiance.individualsareassumedtoberisk-averseselfinterestedutilitymaximizersrational
6、TraditionalfinancefurtherhypothesizesthatJtthemarketIeVe,DrkeSirorporatandreflectIavailableandIeleVantinformation，Behavioralfinanceincludesbehavioraleconomics,investorDsycholoav.behavioralKienyexperimentaleconomics,andCoanitiVeDSVCholoaVThevarietyofapproachestakentoexamineinvestorbehavioraddstotheco
7、nfusionaboutwhatismeantbybehavioralfinance.InOrmalbehavioralfinancemicro(BFMI)examinesbehaviorsorbiasesthatdistinguishindividualinvestorsfromtherationalactorsenvisionedinneoclassicaleconomictheory./BFMlquestionstheperfectrationalityanddecision-makingprocessofindividualinvestors.Qtbehavioralfinancema
8、cro(BFMA)considersmarketanomaliesthatdistinguishmarketsfromtheefficientmarketsoftraditionalfinance.7-110/BFMAquestionstheefficiencyofmarkets.写3.WietaDecision-MakingProcessToprovideJframeworkforunderstandingtheimplicationsofthedecisionmakingprocessforfinancialmkepractitionerswewillUSganapproach,devel
9、opedbydecisionTheorist,HowardRaiHa.“Heusesthetermsnormativeanalysis,descriptiveanalysis,PrerCriDtiVe-nalskNormativeanalysissconcernedwiththenationalsolutiontotheproblemathand.】tdefinesanidealthatactualdecisionsShOUldstrivetoapproximate.DescriptiveanalysisSconcernedwiththemannerinwhichrealpeopleactua
10、llymakedecisions.Prescriptiveanalysisisconcernedvthpracticaladviceandtoolsthatmighthelppeopleachieveresultsmorecloselyapproximatingthoseofnormativeanalysis.Traditionalfinanceassumptionsaboutbehaviorasnormative.Behavioralfinanceexplanationsofbehaviorsasdescriptive.8110”Effortstousebehavioralfinancein
11、practiceasprescriptive.巨北兔保-MCognitiveErrorsorEmotionalBiasesBehavioralbiasescanbecategorizedascognitiveerrorsoremotionalbiases.Cognitiveerrorsstemfrombdsstatistical,information-processing,ormemoryerrors;cognitiveerrorsmaybeconsideredtoresultfromreasoningbsedonfaultythinking.Emotionalbiasesstemfromi
12、mpulseorintuitionemotionalbiasesmaybeconsideredtoresultfromreasoninginfluencedbyfeelings.“Behavioralbiases,cognitiveoremotional,maycausedecisionstodeviatefromtherationaldecisionsoftraditionalfinance.Tra.FinancePerspectivesonIndiv.BehaviorTraditionalfinanceconceptsmaybethoughtofasnormative,indicating
13、howpeopleandmarketsshouldbehave.，InvestorsareassumedtoberationalinvestorsmakedecisionsconsistentWitllUtiHtytheoryandreviseexpectationsupdatebeliefs*consstentv.thBaYeSfOrmUla1G11CTheyarefurtherassumedtobeself-interestedandrisk-averse,tohaveaccess:toperfectinformation,andtoprocessallavailableinformati
14、oninanunbiasedway.S-Ld3通UtilityTheoryTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothefouraxiomsofutility:completeness,transitivity,independence,andcontinuity.CompletenessChoicesandpreferencesareknownThei11dvdu3isawa11?ofallSvaildblechoicesJndCJnVJlUeJndassignpreferencestoeach,such
15、thatbetweenanytwochokestheindividualprefersoneovertheotherorisindifferentbetweenthem.TransitivityRankingSareappliedconsistentlyIVllO/IftheinvestorpreferschoiceXtochoiceYandpreferschoiceYtochoiceZ,theinvestorwillpreferchoiceXtochoiceZ.巨北兔保-MUtilityTheoryIndependence:Utilitiesareadditiveanddivisible.A
16、ddingchoiceZtobothXandYwillnotaffectthepreferencerankingofXandY.If.forexample,theinvestorprefersXtoYandWeaddZtobothchoices,theinvestorwillprefer(X+Z)over(Y+Z).Also,assumingtheinvestorprefersXtoY.ifanyportion,p.ofZisaddedtoXandY.theinvestorspreferencerankingdoesnotchange.Theinvestorwillprefer(X+pZ)to
17、(Y+pZ).Iftherankingisbasedonthesizeoftheproportion,thechoicesarenotindependent.“Continuity:Indifferencecurvesaresmoothandunbroken.AssumetherearethreechoicesL.MJndNsuchthattheinvestorprefersLtoMandMtoN.TheremustbeacombinationofLandNportionsJandb)thatmakestheinvestorindifferentbetween【3L+bNandM.Thisen
18、suresthatindifferencecurvesareunbrokeni.econtinuous).P (A)where=COndftiOnaIprobabilityCfeventAgivenBItistheupdated=prior(unconditional)probabilityofhmationB13-110=priorprobabilityCfeventAwithoutnewInfcjrmationBThisistheateofbaseprobabJtyCfeventA亏史-创新一谗情MakingDecisionsinPerfectWordInaperfectWOrIdwhen
19、peoplemakedecisionsunderuncertaintytheyareassumedtodothefollowiing:AdheretotheaxiomsOfutilitytheory;Behaveinsuchawayastoassignaprobabilitymeasuretopossibleevents;Incorporatenewinfermationbycond巾OningpobabilitymeasuresaccordingtoBayes*formula;Chooseanactionthatmdmizestheutilityfunctionsubjecttobudget
20、constraints(consistentlyacrossdiflntdecisionproblems)with,especttothisconditionalprobabilityrneiasure14-110Homoeconomicsorrationaleconomicman(REM):Principlesofperfectrationalityperfectself-inti!resandperfectinformationgovernREMSeconomicdecisions亏业创新港伯RiskAverseExpectedutilitytheorygenerallyassumesth
21、atindividualsareriskaverseThismeansthatanindividualmayrdisealirwager(awagerwithanexpectedVcilueofzero),andalsoimpliesthathisutilityfunctionsareconcaveandshowdiRiinishingmarginalUtiiitydwealth;Giventwochoices-investingtoreceiveanexpectedvaluewithcertaintyOrinvestinginanuncerUinalternativethatgenerate
22、stheseimeexpectedVcilue-SomeonewhopreferstoinvlesttoreceiveanexpectedVaIUeWithcertaintyratherthaninvestintheUncertainalternativethatgeneratesthesameexpectedvalueiscalledrisk-averse;whopreferstoinvestinthUncertciinalternativeiscalledrisk-seeking;Intrad巾Onalance;indiddualsareassmedtoberisk-averseUtili
23、tyFunctionofWealth，AconcaveutilityfunctionmeansEatutilityincreasesat3decreasingrateWithincreasesinwealth;therisk-averseindividualhasadiminishingnrgnlutilityofwealthAconvexutilityfunctionmeansthatutilityincreasesatanincreasingratewithincreasesinwealth;therisk-seekingindividualhasanncreasingmarginalut
24、ilityofwealthThedegreeOfllSkaversionCdnbemeasuredbythecurvatureQftheutilityfunction.ChallengestoTraditionalFinanceandtheREM“ThosewhochallengeREMdosobyattackingthebasicassumptionsofperfectinformation,perfectrationality,andperfectself-interest.SomeofthebehavioralchallengestoREMinclude:Boundedrationali
25、tyassumesthatindividualschoicesarerationalbutaresubjecttolimitationsofknowledgeandcognitivecapacity,anddonotbehavewithperfectrationality:PeoplehavedifficultyPrioritiZing$horterm(SPending)goalsoverlong-term(spendingversusSdVingjgoalsanddonotbehavewithperfectself-interest:Itisintuitivelyobviousthatman
26、yeconomicdecisionsaremadeintheabsenceofperfectinformationanddonotbehavewithperfectinformationmonetarypolicy):17-110Wealthutilityfunctionsmaynotalwaysbeconcaveasassumedbyutilitytheory,andindividualsCansometimesexhibitriskseekingbehavior.巨北兔保-MChallengestoUtilityMaximization，Indifferencecurveanalysism
27、ayincorporatebudgetIifiesorconstraints,whichrepresentrestrictionsonconsumptionthdtstemfromresourcescarcity:，IfthetwoitemsareperfectsubstitutesThentheindividualisv/illingtotradeonefortheothenJfixedratio:thentheindifferencecurveisalinewithaconstantslopereflectingthemarginalateofsubstitution-Ifthetwoit
28、emsareperfectcomplementsthenthecurvewouldbeL-shped.Anadditionalamountofeithergoodaddsnoextrautilitybecausethegoodsareonlyusedincombination.”Riskplaysanimportantpartinmakingutility-maximizingdecisionsChallengestoAttitudesTowardRisk”Assumingthatindividualsarerisk-averseendthatutilitycurvesareconcavean
29、dexhibitdiminishingmarginalutilityseemsreasonable,butobservedbehaviorsarenotalwaysconsistentwiththeassumptionofanindividualwhoisconstantlyrisk-averseSuchabuyinglotteryticketsandbuyingm-inv.,hichexpectedutilityislowbutpeople(evenwithlowincomes)participateinthepurchase;IfJninvestmentoffersafewextremel
30、ylargeprizes,itsattractivenessisincreasedfarbeyondtheaggregateVJlURoftheprizes./ThosewithlessincomePrefeeithercertaintyorariskthatoffersasmallchanceof3largegaintoJriskthatismoderate/Middle-incomepeoplearemorelikelytobeattractedbysmall,fairgambles.Riskevaluationisreference-dependent,meaningiskevaluat
31、iondependsinpartonthewealthlevelandcircumstancesofthedecisionmaker,hisnotnecessarilytruethatanindividualsutilityfunctionhasthesamecurvatureconsistently19110写43.舒etaQFriedman-Savagedouble-inflectionutilityfunctionUConcaveRiskAverseConvexRiskSeekingConcaveRiskAverseZ2(11C号a.wZgNeuro-Economics，Neuro-ec
32、onomicscombinesneurosciencepsychology,andeconomicsinattemptingtoexplainhowhumansmakeeconomicdecisions;,Neuro-economicsattemptstobridgethegapbetweenresearchondecisionbehaviorandeconomictheorybyunderstandingthebrainactivityofjudgmentandmakingchoices;，Itistheamygdalathatcreatesafightorflightresponsedur
33、ingasuddeneventortrauma.Forinvestors,theamygdalamayberesponsibleforGpanickedresponseratherthanJnanalyticalresponsetoadroppingmarket:，Althoughneuro-ecoomicsresearchi$interestingandmayprovidefurtherinsightsintoindividualeconomicdecisionmakingitseffectoneconomictheoryremainstobeseenDevelopmentoftheTheo
34、ryPascal: expected*Bernoulli:Value O price UtiIityO estimateFranck Knight RiskO measurable Uncertainty notBoundedRationality22110Neumann&MorgensternMaximizeexpectedutilitySavage:Subjectiveexpectedutility写43.蟀LSlfiDecisionTheory-TraditionalFinanceDecisiontheoryisconcernedwithidentifyingvaluesprobabil
35、ities,andotheruncertaintiesrelevanttoJgivendecisionandusingthatinformationtoarriveJlJtheoreticallyoptimaldecisionThedevelopmentofthedecisiontheoryisasfollowing.TheinitialfocusofdecisiontheorywasonexpectedvalueExpectedvalueofanitemisbasedonitsPriCewhichisthesameforeveryonebecausethepricedependsonlyon
36、theitemitselfExpectedutilityofanitemisbasedontheworthassignedtoitbythepersonmakingtheestimate;FrankKnightdefinesriskasrandomnesswithknowableprobabilitiesanduncertaintyasrandomnesswithunknowableprobabilities;23110ThetheoriesofvonNeumannandMorgensternandSavage(SEU)extendthescopeofexpectedutilit,/theor
37、ytosituationsinwhichonlysubjectiveprobabilitiesareavailable.塞吐里保-EgBoundedRationality，Boundedrationality：recognizingthatpeoplearenotfullyrationalWhenmakingdecisionsanddonotnecessarilyoptimizebutrathersatisfice(definedbelow)whenarrivingattheidecisions:Satisficingsatisfy&suffice:isfindingonacceptables
38、olutionasopposedtooptimizingwhichisfindingthebest!optimal)solution:Theoptimalsolutionistheonethatmaximizestheutilityrealizablefromthesituation.，Decisionmakersmaychoosetosatisficeratherthanoptimizebecausethecostandtimeoffindingtheoptimalsolutioncanbeveryhigh，Whenaspirationsarereached,peopletendtoadju
39、sttheaspirationsupward;whenaspirationsarenotreached,peopletendtoadjustdownward;DecisionsaremadeprogressivelyuntilthegoalstateisachievedThefirstdecisionismadetogetonestepclosertothegoalstatethenextdecisionresultsingettingstillclosertothegoal,anddecisionscontinuetobemadeuntilthegoalstateISmet.Anothere
40、xampleISthedivide*andconquerprocedureProspectTheory-BehavioralFinance，Prospecttheoryhasbeenproposedasanalternativetoexpectedutilitytheory;，Prospecttheoryassignsvaluetogainsandlosses(changesinwealth),ratherthantofinalwealth,andprobabilitiesarereplacedbydecisionweights;Thevaluefunctionisdefinedbythede
41、viationsfromareferencepointandisnormallyconcaveforgains(implyingriskaversion),convexforlosses(risk-seeking),andsteeperforlossesthanforgains(lossaversion).Investorsareassumedt(PlaCeHgreaterValUeOna1。“thanOnaainQftheSameamountGiVenapotentiallossandgainOfequalSiZeSthTincreaseinUtilityass。CiatedWiththeD
42、otentialgainisSmallerthanthedecreaseinUtilitV(i.e.disutility)associatedWiththeDotentialI。”InvestorstendtcfearIoSSeS.dcanbecomeskseeking(assumeriskierpositions)inanattempttoavoidthem.ValueProspectTheory-EditingProcessInprospecttheorybasedQndescriptiveanalysisofhowchoicesaremade,therearetvophasestomak
43、ingachoice:anearlyphasenwhichprospectsareframed(oredited)andasubsequentphasenWhiChprospectsdieevaluatedandchosen.Dependingonthenumberofprospects,theremaybeuptosixoperationsintheeditingprocess:CodificationPeopleperceiveoutcomesJSgainsandlossesrathethanfinalstatesofwealthorwelfare.Againorlossis.ofcour
44、sedefinedwithrespecttosomereferencepoint.CombinationProspectsaresimplifiedbycombiningthePobubitiesassociatedwithidenticalgainsorlosses.Segregation:Therisklesscomponentofanyprospectisseparatedfromitsriskycomponent/Forexampleaprospectinitiallycodedas(300,0.8:200.0.2)isdecomposedintoasuregainof(200.1.0
45、)andaIiSkyprospectof(100.0.8:0.0.20).Thesameprocessisappliedforlosses.Detectionofdominance:0UtconnesthatarestrictlydominatedareSCannedandrejectedwithoutfirtlherevaluation.28ILO亏业创新逸值ProspectPhaseU=w(P1)v(x1)PLBtheirrespectiveProbab小ticsisafunctionthatassignsavaluetoanoutconeisHprobabJty-weightingfun
46、ctionTheprobability-weightingfij11ctionexpressesthefactthatpeopletendtooverreacttosmallprobability*11tsbutunderreacttomid-sizedandlaigeprobabilitiesThevaluefunctionissshaped;moreover;asitsasymmetryimpliesgiventhesamevariationinabsolutevaluethereisabiggerimpactoflossesthanofgainsQossaversion).29-110亏
47、业创新港伯ShortCommentUtilitytheoryassumesriskaversion,prospecttheoryassumeslossaversion.TraditionalFinancevsBehavioralFinanceTraditional Finance Assumes:Behavioral Finance Assumes:Unlimited perfect knowledgeCapacity limitations on knowledgeUtility maximizationSatiSfiCeFully rational decision makingBounded rationality. Cognitive limitson decision makingRiSk avers
