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我是一条鱼 · 2021年12月02日

是否需要给投资者归类

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NO.PZ201511190100001102

问题如下:

The second client, Verochka Calderón, gives Ly a list of the four highest-performing funds in her defined contribution plan and asks Ly to recommend an allocation. After Calderón completes a risk tolerance questionnaire, Ly determines that Calderón likely exhibits framing and regret biases. Using the four funds, Ly suggests two allocations, presented in Exhibit 1.


Determine, assuming Ly’s determination of Calderón’s biases is correct, which portfolio Calderón would most likely select.(circle one)

Allocation A

Allocation B


Justify your response.


选项:

解释:

Calderón would most likely select Allocation A.

● As a result of a framing bias, Calderón is likely to choose an allocation based on a 1/n naïve diversification strategy.

● As a result of a regret bias, Calderón is likely to choose a conditional 1/n strategy to minimize any potential future regret from one of her funds outperforming another.

Calderón would most likely select Allocation A. Ly believes that Calderón exhibits framing and regret biases. Framing bias may lead an investor such as Calderón to use a 1/n naïve diversification strategy, dividing contributions equally among available funds regardless of the underlying composition of the funds. Given Calderón’s selection of the four highest-performing funds in her plan, Calderón can minimize any potential future regret if one fund outperformed another by using a conditional 1/n diversification strategy, investing equally in all four funds. The Sharpe ratios of the two portfolios are the same, so this ratio does not influence the decision to select one allocation over the other.


请问这种题目回答的时候是否需要给投资者归类,例如PP,AA。。。

1 个答案

王琛_品职助教 · 2021年12月03日

嗨,从没放弃的小努力你好:


就这道题而言,是「不」需要给投资者归类的

因为如果要考查投资者分类 BIT,可不仅需要提供呈现的主要偏差类型,还需要提供:投资风格是主动还是被动,风险容忍度是低还是高,投资者具体分类的差异化特点等

而这道题的信息量不足,所以无法识别出具体的投资者分类哈

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2020-01-29 00:00 1 · 回答

    为什么Framing推导出Naive versification?

2019-10-07 18:21 1 · 回答