CFA三级培训项目：Behavioral Finance 标准版.docx

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1、U LDoI二更UqSSdCUdWaaAe koll4尸。圈O皿邑暮 FK111V:DucraczsoQxmTopicinCFALevelIIIStudySession1-2StudySession3StudySession4StudySession5StudySession6StudySession7-8StudySession9-10StudySession11StudySession12-13StudySession14StudySession15StudySession16ContentETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINAN

2、CECAPITALMARKETEXPECTATIONSNEWASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTNEWFIXED-INCOMEPORTFOLIOMANAGEMENT(1)&(2)EQUITYPORTFOLIOMANAGEMENT&(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTNEWPRIVATEWEALTHMANAGEMENT(l)8i(2)NEWPORTFOLIOMANAGEMENTFORINSTITUTIO

3、NALINVESTORSNEWTRADING,PERFORMANCEEVALUATION,ANDMANAGERSELECTIONNEWCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENTNEWBehavioralFinancekSuccessKeys:RememberKeyWordsStudySomeCasesofTheseKeyWordsExplaintheKeyWordsinOneSentencekRecommendationsMuchoftheterminologyisredundantinthatmorethanonetermcanmeanthesam

4、ething.Manyoftheconceptsareoverlapping,andmostofthequestionsdependheavilyoncomprehendingtheterminology.Yourfocusshouldbeonunderstandingthebasicmeaningofeachtermasgiveninthematerial.s y8 6工S-BnPPUIOS S-8 -20一 -s8 =18x巧dsdUUBULz-ejocqCQCl NH yueuiz-e-oeqCQ-ESS大O?Lriuueuiz-B-O5eqoMEei三三:uQuueuiz-e,loeq

5、QqI6e三pexTraditionalFinancevs.BehavioralFinanceWithintraditionalfinance,individualsareassumedtoberisk-averse,selfinterestedutilitymaximizers,(rational).Traditionalfinancefurtherhypothesizesthat,atthemarketlevel,pricesincorporateandreflectallavailableandrelevantinformation.kBehavioralfinanceincludesb

6、ehavioraleconomics,investorpsychology,behavioralscience,experimentaleconomics,andCognitiVePSyChC)IOgyThevarietyofapproachestakentoexamineinvestorbehavioraddstotheconfusionaboutwhatismeantbybehavioralfinance,(normal)behavioralfinancemicro(BFMI)examinesbehaviorsorbiasesthatdistinguishindividualinvesto

7、rsfromtherationalactorsenvisionedinneoclassicaleconomictheory./BFMIquestionstheperfectrationalityanddecision-makingprocessofindividualinvestors.orbehavioralfinancemacro(BFMA)considersmarketanomaliesthatdistinguishmarketsfromtheefficientmarketsoftraditionalfinance./BFMAquestionstheefficiencyofmarkets

8、.Decision-MakingProcessToprovideaframeworkforunderstandingtheimplicationsofthedecisionmakingprocessforfinancialmarketpractitioners,wewilluseanapproach,developedbydecisionTheorist,HowardRaiffa.才Heusesthetermsnormativeanalysis,descriptiveanalysis,prescriptiveanalysis.Normativeanalysisisconcernedwithth

9、erationalsolutiontotheproblemathand.Itdefinesanidealthatactualdecisionsshouldstrivetoapproximate.Descriptiveanalysisisconcernedwiththemannerinwhichrealpeopleactuallymakedecisions.Prescriptiveanalysisisconcernedwithpracticaladviceandtoolsthatmighthelppeopleachieveresultsmorecloselyapproximatingthoseo

10、fnormativeanalysis.Traditionalfinanceassumptionsaboutbehaviorasnormative.Behavioralfinanceexplanationsofbehaviorsasdescriptive.kEffortstousebehavioralfinanceinpracticeasprescriptive.CognitiveErrorsorEmotionalBiaseskBehavioralbiasescanbecategorizedascognitiveerrorsoremotionalbiases.Cognitiveerrorsste

11、mfrombasicstatistical,information-processing,ormemoryerrors;cognitiveerrorsmaybeconsideredtoresultfromreasoningbasedonfaultythinking.Emotionalbiasesstemfromimpulseorintuition;emotionalbiasesmaybeconsideredtoresultfromreasoninginfluencedbyfeelings.kBehavioralbiases,cognitiveoremotional,maycausedecisi

12、onstodeviatefromtherationaldecisionsoftraditionalfinance.g三-3wO-To-88UnCBqOnX一sPUtilityTheorykTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothefouraxiomsofutility:completeness,transitivity,independence,andcontinuity.Completeness:Choicesandpreferencesareknown./Theindividualisawareof

13、allavailablechoicesandcanvalueandassignpreferencestoeach,suchthatbetweenanytwochoices,theindividualprefersoneovertheotherorisindifferentbetweenthem.Transitivity:Rankingsareappliedconsistently./IftheinvestorpreferschoiceXtochoiceYandpreferschoiceYtochoiceZ,theinvestorwillpreferchoiceXtochoiceZ.Utilit

14、yTheoryIndependence:Utilitiesareadditiveanddivisible.AddingchoiceZtobothXandYwillnotaffectthepreferencerankingofXandY.If,forexample,theinvestorprefersXtoYandweaddZtobothchoices,theinvestorwillprefer(X+Z)over(Y+Z).AlSo,assumingtheinvestorprefersXtoY,ifanyportion,p,ofZisaddedtoXandY,theinvestorsprefer

15、encerankingdoesnotchange.Theinvestorwillprefer(X+pZ)to(Y+pZ).Iftherankingisbasedonthesizeoftheproportion,thechoicesarenotindependent.kContinuity:Indifferencecurvesaresmoothandunbroken.Assumetherearethreechoices,L,M,andN,suchthattheinvestorprefersLtoMandMtoN.TheremustbeacombinationofLandN(portionsaan

16、db)thatmakestheinvestorindifferentbetween(aL+bN)andM.Thisensuresthatindifferencecurvesareunbroken(i.e.,continuous).Bayes,FormulakTheFormulais:p(ab P(B)*(/)where=ConditionaIprobabilityofeventAgivenB.Itistheupdated6口dsalIp-SC一dW8ORPU2OdLp-.:ZX-XJLJM+(ZX)A(Nd)M+(IX)A(Id)MHn.ShortCommentkUtilitytheoryas

17、sumesriskaversion,prospecttheoryassumeslossaversion.Boundedrationalityrelaxestheassumptionsofperfectinformationandmaximizingexpectedutility.Prospecttheoryfurtherrelaxestheassumptionofriskaversionandinsteadproposeslossaversion.Prospecttheoryissuitedtoanalyzinginvestmentdecisionsandrisk.Itfocusesontheframingofdecisionsaseithergainsorlossesandweightinguncertai