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Sophie · 2021年08月22日

有关prospect theory的问题

Mimi Fong, CFA, a private wealth manager with an asset management firm, has been asked to make a presentation to her colleagues comparing traditional and behavioral finance. She decides to enliven her presentation with statement from one client. The statement is intended to demonstrate some key aspects of and differences between traditional and behavioral finance.

  • Statement (from a client): “I follow a disciplined approach to investing. When a stock has appreciated by 15 percent, I sell it. Also, I sell a stock when its price has declined by 5 percent from my initial purchase price.”

The client is most likely behaving consistently with:

A

prospect theory

B

expected utility theory

C

bounded rationality


请问,prospect theory说的是,人们对待gain和loss的反应不同,对gain会risk-averse;对待loss,会呈现risk-seeking,所以会更容易realized gain,而持有loss的资产。但是本题里,涨15%才卖,下跌5%就卖,明显不符合前景理论呀。相反有点符合expected utility theory,至少需要2倍的gain才能cover一倍的loss,麻烦帮我解答一下,我错在哪里了?

1 个答案
已采纳答案

王琛_品职助教 · 2021年08月23日

嗨,从没放弃的小努力你好:


1

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."

2

这道题是从 R7 的角度考查的,同学之前的分析没问题,但是漏掉了最关键的一句话:从 R7 角度考查时,涨大于跌 "steeper for losses than for gains"

这道题是根据原版书课后题 R7 的第 5 题改编的,目的就是考查同学对基础知识的掌握是否扎实,同学可以再看一下课后题,把两道题放到一起辨析,可能对知识点的掌握会更好,请参考:https://class.pzacademy.com/qa/80974

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