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1、2020年12月CFA三级写作题BEHAVIORALFINANCE今年由于疫情的缘故，CFA考试被迫延期。虽然给了大家更多的复习时间，但也不可掉以轻心。近年来，CFA考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。相比2019年考纲，2020年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个Reading重新编写，而机构组合管理也进行了
2、重新编写，这些变化需引起考生重视。为了全面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA答疑等活动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA三级考试，加油!BehavioralFinanceCase1:ProfessorMehulLiuProfessorMehulLiuteachesseveralbehavioralfinancecoursesatalocaluniversity.Inhiscurrentlecture,hediscusseshowbehavioralfinancediffersfromtraditionalfi
3、nance.1.iudiscusseshowloss-averseinvestorsassessriskandreturn.Liuthenpresentstwoinvestmentchoicestothestudents:Exhibit1InvestmentExpectedReturnExpectedRangeofReturnsA6%0%to11%B12%-10%to20%Thetopicofanotherlectureisprospecttheory.Liupresentsthestudentswiththefollowingtwosituationsandasksthemiftheywou
4、ldacceptorrejecteachone:Situation1A50%probabilityofwinning$10,000anda50%probabilityoflosing$4,000Situation2A50%probabilityofwinning$10,000anda50%probabilityoflosing$8,000ThestudentsvotetoacceptSituation1butrejectSituation2.Liuthenpresentsathirdsituation:Situation3Choosingbetweenlosing$12,000with100%
5、certainty,oracceptingagamblethatOfferSa50%probabilityofwinning$6,000anda50%probabilityoflosing$24,000ThestudentsvotetoacceptthegambleinSituation3.AstudentmeetswithLiuafteroneofhislectures.Thestudentisparticipatinginamockinvestmentcompetitionthatrequiresparticipantstocreateandmanageafictitiousequityp
6、ortfolio.Eventhoughinternationalequitiesareavailableasaninvestableassetclass,thestudentelectstoinvestherentireportfolioindomesticequities.1.iuasksthestudentifshehaseverconsideredincludinginternationalequitiesinhercompetitionportfoliogiventheirdiversificationbenefitsandhigherexpectedreturnsthandomest
7、icequitiesbasedoncurrentconsensusgrowthforecasts.Thestudentrespondsthatshehasnotconsideredinternationalequitiesbecauseshehasnottakenanycoursesininternationalinvestmentsthatcouldprovideherwithexpertiseinthisarea.Thestudentalsoindicatesthatshehasthetimeandresourcestoresearchonlydomesticcompanies.1.iup
8、resentsthefollowinghypotheticalscenarioduringalectureonbehavioralportfoliotheory(BPT).AnnLundstrom,afictitioustechnologyentrepreneur,isaBPTinvestorwhoisdevelopingherportfolio.Thisportfoliowillcontaintwolayers:alayerofrisklessinvestmentsandalayerofspeculativeinvestments.Therisklesslayerwillearn0.50%,
9、andtheprobabilitydistributionoftheexpectedreturnonthespeculativelayerisshowninExhibit2.Exhibit2SpeculativeInvestmentLayerReturn/ProbabllityExpectedReturnProbability-2S%10%12%60%50%30%1.undstromplanstoinvest$1,000,000andhasanaspirationallevelof$1,050,000withaprobabilityof75%.Shecantoleratesomepotenti
10、allossinwealthbutnotmorethan$100,000(minimumportfoliovalueof$900,000).Exhibit3presentstwopotentialportfolioallocationsforthisscenario.Exhibit3PortfolioAllocationsLayerAllocation1Allocation2Riskless59%90%Speculative41%10%1.DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer.
11、Justifyyourresponse.DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer,(circleone)Justifyyourresponse.InvestmentAInvestmentBSolution:DeterminetheinvestmentinExhibit1thataloss-averseinvestorwouldmostlikelyprefer,(circleone)Justifyyourresponse.InvestmentAInvestmentBAloss-ave
12、rseinvestorwillmostlikelypreferInvestmentAandacceptalowerexpectedreturntoavoidthepotentialriskoflosspresentedbyInvestmentB.Theloss-averseinvestorislikelywillingtoacceptalowerexpectedreturntoavoidanypossibilityofincurringaloss.2.Explainhowthevotingresultsineachofthethreesituationsareconsistentwithpro
13、specttheory.ii.RejectingSituation2iii.AcceptingthegambleinSituation3Solution:Prospecttheoryisanalternativetoexpectedutilitytheory.Thistheorydescribeshowindividualsmakechoicesinsituationsinwhichtheymustdecidebetweenalternativesthatinvolveriskandhowtheyevaluatepotentiallossesandgains.Prospecttheorycon
14、sidershowalternativesareperceivedbasedontheirframing,howgainsandlossesareevaluated,andhowuncertainoutcomesareweighted.i.AcceptingSituation1Mostpeoplerejectagamblewithevenchancestowinandloseunlessthepossiblewinisatleasttwicethesizeofthepossibleloss.Inthisgamble,thepossiblewinis2.5timesthepossibleloss
15、,sothestudentvotetoacceptSituation1isconsistentwithprospecttheory.AcceptingSituation1isconsistentwithprospecttheorybecauseexperimentalevidenceshowsthatmostpeoplerejectagamblewithevenchancestowinandlose,unlessthepossiblewinisatleasttwicethesizeofthepossibleloss.ii.RejectingSituation2Mostpeoplerejecta
16、gamblewithevenchancestowinandloseunlessthepossiblewinisatleasttwicethesizeofthepossibleloss.InSituation2,thechancestowinandlosearethesamebutthepossiblewinisonly1.25timesthepossibleloss.ThusthestudentvotetorejectSituation2isconsistentwithprospecttheory.RejectingSituation2isconsistentwithprospecttheor
17、ybecauseexperimentalevidenceshowsthatmostpeoplerejectagamblewithevenchancestowinandlose,unlessthepossiblewinisatleasttwicethesizeofthepossibleloss.InSituation2,thepossiblewinisonly1.25timesthepossibleloss,sothestudentvotetorejecttheinvestmentisconsistentwithprospecttheory.iii.AcceptingthegambleinSit
18、uation3Peoplearerisk-seekingwhenthereisalowprobabilityofgainsoraKighprobabilityoflosses.Deviationsindecisionmakingresultinoverweightinglow-probabilityoutcomes.Thegamblemayappearmoreattractivethanthesureloss,sothestudentvotetoacceptthegambleisconsistentwithprospecttheory.Experimentalevidenceshowsthat
19、risk-seekingpreferencesareheldbyalargemajorityofpeoplewhenthereisalowprobabilityofgainsorahighprobabilityoflosses.Therefore,thestudentvotetoacceptthegambleoverthesurelossinSituation3isconsistentwithprospecttheory.3.Determinedecision-makingprocess.Justifyyourresponse.Solution:Guidelineanswer:Boundedr
20、ationalitydescribesthephenomenonwherebypeoplegathersome(butnotall)availableinformation.Thestudentdoesnotbehavetotallyrationallybecausesheisnotgatheringfullinformationtoidentifyinternationalequityinvestmentopportunities.Herdecisionmeetsthecriterionspecifiedofcreatingandmanagingafictitiousequityportfo
21、liobutisnotnecessarilyoptimal.Althoughhigherreturnsmaybepossibleininternationalequities,investingfullyindomesticequitiessatisficeswithinthetotalityoftheinvestorsdecision-makingenvironment.Thenotionofboundedrationalityrecognizesthatpeoplearenotfullyrationalwhenmakingdecisionsanddonotnecessarilyoptimi
22、zebutrathersatisficewhenarrivingattheirdecisions.Peoplehaveinformational,intellectual,andcomputationallimitations.Boundedrationalitydescribesthephenomenonwherebypeoplegathersome(butnotall)availableinformation,useheuristicstomaketheprocessofanalyzingtheinformationtractable,andstopwhentheyhavearriveda
23、tasatisfactory,butnotnecessarilyoptimal,decision.Thestudentdoesnotbehavetotallyrationallybecausesheisnotgatheringfullinformationtoidentifypossibleinternationalequityinvestmentopportunitiesanddoesn,thavetheknowledgetodoso.Herbehaviorisboundedlyrationalbecauseherdecisionmeetsthecriterionspecifiedofcre
24、atingandmanagingafictitiousequityportfoliobutisnotnecessarilyoptimal.Althoughthedecisionissuboptimallbecausehigherreturnsmaybepossibleinglobalmarkets,itsatisficeswithinthetotalityofthestudentsdecision-makingenvironment.Thestudentmayhavedecidedthatshelackedtheknowledge,time,andresourcestoresearchalla
25、lternatives.Giventhestudentsapparentlylimitedknowledgeofinternationalequitiesmarkets,andconsideringtimeconstraintsandthesolecriterionofinvestinginequities,thedecisiontoinvestallofherportfolioinUSequitiesmaybereasonable.4.DeterminewhichportfolioallocationinExhibit3isclosesttotheBPToptimalportfoliofor
26、Lundstrom.Justifyyourresponse.DeterminewhichportfolioallocationinExhibit3isclosesttotheBPToptimalportfolioforLundstrom.(circleone).Allocation 1Allocation2JustifyyourresponseSolution:DeterminewhichportfolioallocationinExhibit3isclosesttotheBPToptimalportfolioforLundstrom.(circleone).Allocation1Alloca
27、tion2JustifyyourresponseJustifyyourresponseBothportfolioallocationsmeetthesafetyobjectiveof$900,000.Allocation1hasa90%chanceofexceedingtheaspirationallevelof$1,050,000,whereasAllocation2onlyhasa30%chanceofexceedingit.ABPTinvestorconstructsaportfolioinlayerstosatisfyinvestorgoalsratherthanbemeanvaria
28、nceefficient.Theinvestorsexpectationsofreturnsandattitudestowardriskvarybetweenthelayers.Inthiscase,Lundstromhasasafetyobjectiveof$900,000andaspirationallevelofreturnof5%($50,000)witha75%probability.Giventheexpectedreturnsfortherisklessandspeculativelayers,Allocation1willresultinthefollowingamounts:
29、10%chance:(59%$1,000,0001.005+(41%X$1,000,000)(1-0.25)=$900,45060%chance:(59%$1,000,000)1.005+(41%$1,000,000)(1.12)=$1,052,15030%chance:(59%$1,000,000)1.005+(41%$1,000,000)X(1.50)=$1,207,950.Giventheexpectedreturnsfortherisklessandspeculativelayers,Allocation2willresultinthefollowingamounts:10%chanc
30、e:(90%$1,000,000)1.005+(10%$1,000,000)(1-0.25)=$979,50060%chance:(90%$1,000,000)1.005+(10%$1,000,000)(1.12)=$1,016,50030%chance:(90%$1,000,000)1.005+(10%X$1,000,000)(1.50)=$1,054,500Bothportfolioallocationsmeetthesafetyobjectiveof$900,000(minimumvalueof$900,450forAllocation1and$979,500forAllocation2
31、).Allocation1hasa90%chanceofexceedingtheaspirationallevelof$1,050,000,however,whereasAllocation2hasonlya30%chanceofexceedingit.Asaresult,onlyAllocation1meetsboththesafetyobjectiveandthe75%probabilityofreachingtheaspirationallevel.Thus,Allocation1isclosesttotheBPToptimalportfolioforLundstrom.Case2:Lu
32、caGerber1.ucaGerberrecentlybecamethechiefinvestmentofficerfortheLudwigsFamilyCharity,amid-sizeprivatefoundationinSwitzerland.Priortoassumingthisrole,Gerberwasawell-knownhealthcareindustryanalyst.TheLUdWigsfamilyfortuneisprimarilytheresultofentrepreneurship.GerhardLudwigsfoundedABCInnovations(ABC),ab
33、iotechcompanydedicatedtosmallcelllungcancerresearch.ThefoundationsportfolioisfifteenpercentinvestedinABC.GerberinitiallyfeelsthatfifteenpercentinvestmentinABCishigh.However,uponreview,hedecidesitisappropriatebasedonLudwigsinvolvementandtheirpastsuccesswithsimilarventures.Gerbermakesamentalnotetohims
34、elftocloselymonitortheinvestmentinABCbecauseheisnotfamiliarwithsmall-capstartupcompanies.Theremaining85percentofthefoundationsportfolioisinvestedinequityofhighqualitylarge-cappharmaceuticalcompanies.Gerberdeemsthisallocationappropriateandisexcitedthatheisabletocontinuetousehissuperiorknowledgeoftheh
35、ealthcareindustry.Forthepasttwoyears,ABChasbeendedicatedtoProjectM,aneffortdirectedatdevelopingadrugforthetreatmentofrelapsesinsmallcelllungcancer.ProjectMhasdelayeditsPhaseTwotrialstwice.PublishedresultsfromPhaseOnetrialshaveraisedsomeconcernsregardingthedrug.Initslasttwoquarterlyinvestors*conferen
36、cecallszABCsCEOwasverycautiousindiscussingexpectationsforProjectM.ABCsstockpricedecreasedbyover20percentduringthepastSiXmonths.GerberbelievesthattheresearchsetbacksaretemporarybecauseofABCspastsuccesswithprojects.HeexpectsthatABCwillbeginPhaseTwowithinayear,andalsobelievesthatonceProjectMgoesintoPha
37、seTwo,ABCsstockpriceshouldreachanew52-weekhighofCHF80.Soonafterdecidingtoholdthestock,GerberreadsanarticlebyABCschiefscientistinwhichcertainscientificresultsfromProjectMaredetailed.Asaconclusion,thearticlestates:Althoughwestillhavesomemajorobstaclestoovercome,theProjectMteamhasseenpositivesignsthata
38、treatmentforsmallcelllungcancerisachievable.,zWhileGerberhasdifficultyinterpretingthescientificresults,hefeelsreassuredafterreadingtheconcludingstatement.Today,ABCannouncesthenewsthatitwillnolongerpursueProjectM,citingearlysignsoffailureoftheproject.Asaresultoftheannouncement,thestockpricedropsby50p
39、ercent.Gerberisstunned.Hereviewsthecompany,shistoryandnotesthatABChasbeenupfrontaboutitsstrugglestosolvetheProjectMissues.GerbernowrealizesthathehasbeenignoringallthesignsandfeelsatremendousregretfornothavingsoldthefoundationsinvestmentinABCearlier.1.DiscusshowGerberdisplayedavailabilitybiaswithonee
40、xample.DeterminetheimplicationsofavailabilitybiasforfinancialdecisionmakinganddescribeonewayGerberSolution:Availabilitybias,acognitiveerror,isaninformation-processingbias.Individualsexhibitingthisbiaswillassessthelikelihoodofanoutcomebasedonhoweasilytheycanrecalltheinformation.Gerberexhibitsthisbias
41、intwoways:AlthoughGerberfeltthefoundationsinvestmentinABCwashigh,hedecidedthatLudwigszinvolvementandtheirpastsuccessjustifiedtheinvestmentinABC.TheinformationonthepastsuccessofLudwigs*investmentscameeasilytomind.Gerberbelieved100percentofthefoundationsportfoliointhehealthcareindustrywasappropriate,m
42、ostlikelybecauseofhispastexperienceasananalystintheindustry.ItiseasierforGerbertorecallinformationfromhispastthantodevelopadiversifiedinvestmentportfolio.Investorswhoexhibitavailabilitybiasmaylimittheirinvestmentopportunityset,maychooseaninvestmentwithoutdoingathoroughanalysisofthestock,mayfailtodiv
43、ersify,andmaynotachieveanappropriateassetallocation.Gerberexhibitsallofthesetendencieswhenheisevaluatingthefoundationsportfolio.Theimplicationsofthisbiasleadtheportfoliotobeundiversified,andasaresult,theportfolioholdsassetsthatmaynotbeappropriate.Gerberisonlyinvestinginpharmaceuticalcompanies.Thefol
44、lowingisasummaryofissueswiththefoundationsportfolio:NothoroughanalysisregardinginvestmentinABC.Alimitedinvestmentopportunityset;investedonlyinthehealthcaresector.Anundiversifiedportfolio.Aninappropriateassetallocation;investedonlyinequity.Gerbercouldovercomethisbiasbydevelopinganappropriateinvestmen
45、tpolicystrategy,withafocusonappropriategoals(short-andlong-term),andhavingadisciplinedapproachtoinvestmentdecisionmaking.AninvestmentpolicystatementwouldhelpprovidedisciplineandwouldalertGerberandhisteamthathereallyhasonlyconsideredinvestmentsthatheisfamiliarwith.Further,Gerberandhisinvestmentteamsh
46、ouldconsidertheassetallocationwithintheportfolio.2.DiscusshowGerberdisplayedoverconfidencebiasandciteoneexampletosupportthisstatement.Distinguishbetweentheavailabilitybiasandtheoverconfidencebias.Solution:Gerberdisplayedoverconfidencebiasbyhavingtoomuchfaithinhissuperiorknowledgeofthehealthcareindus
47、try/Overconfidencebiasandtherelatedillusionofknowledgebiasresultwhenindividualsoverestimatetheirknowledgelevelsandabilities.Overconfidencebiashasaspectsofdominates.Emotionalbiaseszwhichstemfromimpulseorintuition,maybeconsideredtoresultfromreasoninginfluencedbyfeelings.Thesebiasesaredifficulttocorrec
48、t.Overconfidenceisprimarilyanemotionalbiasandisthusdifferentfromavailabilitybiaswhichisaninformation-processingbiasandacognitiveerror.Cognitiveerrorsresultfromfaultyreasoningandanalysis.Theindividualmaybeattemptingtofollowarationaldecision-makingprocessbutfailstodosobecauseofcognitiveerrors.Gerberperceivesthefoundationsinvestmentallocationandstockselectionasappropriate,anddoesnotprocessalloftheinformationavailabletohim.HenotesthatABCshouldbemonitoredcloselybecauseofthefactheisnotfamiliarwithstartupcompanies;however,hedoesnotprocessinformationthatgoe
