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loss 10%不是行为金融学中的loss aversion吗？

NO.PZ2018091702000006

问题如下：

Jacob is a famous scientist and has a portfolio currently worth $10 million. He said to his portfolio manager, - I can bear the risk of losing at most 10% of my portfolio every year. I studied some basic financial theories at home, so if my portfolio follows the equation: Expected return -2.33×standard deviation≥–10%, you are free to choose any asset classes.-

Which of the following strategy should the portfolio manager take to help Jacob manage his account? The manager should：

选项：

construct a mean-variance efficient portfolio.

divide Jacob's portfolio into layers to meet his goals.

sell Jacob's stocks if his portfolio increases more than 10%.

解释：

A is correct.

考点：传统金融学VS行为金融学

解析：这个客户在表达自己的投资策略时使用了Expected return和standard deviation两个变量，所以客户更喜欢均值方差最优化的有效投资组合，这与传统金融学理念一致，选A。

没有证据显示他有多个投资目标，题干也没有说他在股票上涨时会如何处理。

题目中描述投资者bear loss 10%不是行为金融学中的loss aversion吗？

嗨，爱思考的PZer你好：

这道题而言，单看题干中的那句话，并不能反应 loss aversion。原因正如解析所说，题干也没有说他在股票上涨时会如何处理，所以无法推导出盈利大于 10% 就卖出股票

关于 loss aversion，原版书 R7 和 R8 介绍的角度不同

R7 是在 Prospect theory 框架下，说的是同样的效用，涨跌不对称，且涨大于跌，参考原版书 P18

"The value function is defined by deviations from a reference point and is normally concave for gains (implying risk aversion), convex for losses (risk-seeking), and steeper for losses than for gains (loss aversion)"

R8 是在 loss aversion bias 的框架下，说的是盈利就卖，亏损持有，参考原版书 P76

"Hold investments in a loss position longer than justified by fundamental analysis.Sell investments in a gain position earlier than justified by fundamental analysis."

这道题明显不是 R8 识别判断行为偏差的题目，而是考查 R7 传统金融学VS行为金融学的知识点。而题目又没有提供股票上涨时的处理方式，所以无法推导出同样的效用，涨跌不对称，且涨大于跌的结论，所以 C 选项属于干扰项，不选。

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loss 10%不是行为金融学中的loss aversion吗？

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