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moon · 2022年07月21日

老师,考试这么回答可以吗啊?

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NO.PZ201511190100001102

问题如下:

Anicée Ly is a portfolio manager for a bank and prepares for meetings with two new clients.

Rufus Olssen

Based on a completed risk tolerance questionnaire, Ly concludes that the first client, Rufus Olssen, is moderately risk averse with a mental accounting bias. Olssen desires capital growth with a small amount of income. Ly presents Olssen with the following two portfolios:

Portfolio 1 100% in a global balanced fund that is mean–variance optimized.

Portfolio 2 25% in CDs, 25% in a global bond index fund, 35% in a global equity index fund, and 15% in a high-risk, actively managed, micro-cap equity fund.

Both portfolios provide the same level of income and expected return, and the portfolios have the same Sharpe ratio.

Verochka Calderón

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.

choose A

(1) he has framing bias(emtional bias), which people will influened by the way the question it asked, so he will choose A, because he will show 1/n naive diversificaiton

(2) he has regret bias(emotional bias), whcih people tend to do nothing, because afraid of regret, so he will invest equally, to avoid any regretion if one ourperfom or underperfom other


老师,考试这么回答可以吗啊?

1 个答案

王琛_品职助教 · 2022年07月22日

嗨,从没放弃的小努力你好:


可以的,重点都点到了,但是有 2 个细节,如果能注意一下,应该能更好

framing bias 的偏差分类错了,属于 cognitive bias,参考口诀 FAMA,所以同学写着 "he has framing bias(emotional bias)" 是写错的

regret bias 的偏差结果,建议写 "avoid making decisions";不建议写 "people tend to do nothing",因为这种说法,更像是 status quo bias 的偏差结果哈

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