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AL · 2021年11月12日

Sell winner hold loser

  1. CFA III
  2. Behavioral Finance

* 问题详情，请 查看题干

NO.PZ201511190100000302

问题如下：

Which of Tang’s observations is least likely to be the consequence of Jordan demonstrating loss-aversion bias?

选项：

A.

Observation 1.

B.

Observation 2.

C.

Observation 3.

解释：

C is correct.

Loss aversion by itself may cause a sector concentration; however, a market neutral strategy tends to focus on individual stocks without regard to the sector. The sector exposure would be mitigated with the balancing of the individual long and short positions.

。PZ2018091702000002这道题是站在事前的角度，Client 3对待价格上涨和下跌的态度是不对称的，他给自己定的投资规则是上涨到15%或下跌到10%卖出，这道题的关键词在于非对称，这也是loss aversion的一个特点 看這裡有同學問了老師 這題和自前的題目的分別 我想問是 既然上15賣和下10賣 對贏和輸的態度不一樣 贏要很多 才能 等於 輸的value 那loss aversion 不是一早就是贏快賣 輸不賣嗎 為啥定了跌10賣都是loss aversion? 謝謝 老師
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1 个答案

王琛_品职助教 · 2021年11月12日

嗨，努力学习的PZer你好：


关于 loss aversion，原版书 R7 和 R8 介绍的角度不同

1）那loss aversion 不是一早就是贏快賣 輸不賣嗎

同学的这个理解，是 R8 介绍的角度

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） 上15賣和下10賣 對贏和輸的態度不一樣 贏要很多 才能 等於 輸的value

同学的这个理解，是 R7 介绍的角度

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)"

也请参考：https://class.pzacademy.com/qa/87150

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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