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滴滴姐姐~ · 2019年11月25日

问一道题：NO.PZ2018091702000039

  1. CFA III
  2. Behavioral Finance

问题如下：

Owen and Yang meet with Callie Steven, an upper level executive with AutoPay, a small but fast growing privately held company. She has been employed with AutoPay for more than 15 years and as a result, her holdings in AutoPay are estimated to be more than 30% of her total portfolio. She believes that over the next several years AutoPay will put together an initial public offering, resulting in a huge windfall. She states that she has a significant portion of her portfolio in short-term bonds and money market funds to offset the risk of her AutoPay shares. Owen points out to Steven that her current portfolio is subject to mental accounting, is not constructed in layers, and does not take into consideration covariance between assets.

Is Owen’s comment regarding Steven’s current portfolio correct?

选项：

A.

No, he is incorrect with regard to portfolio construction 

B.

Yes

C.

No, he incorrect with regard to covariance between assets

解释：

A is correct.

Owen’s comment regarding Steven’s current portfolio construction is not correct. Her current portfolio is subject to mental accounting, has been constructed in layers and does not take into consideration covariance between assets.  

他没考虑asset的covariance吗？

他考虑了吧？？

买了股票还买了bond。。。不是就是买点儿波动的买点儿稳定的互相hedge一下？

mental accounting那部分懂了哈 就是问问这个cov~

蟹蟹蟹蟹！！

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1 个答案

企鹅_品职助教 · 2019年11月25日

嗨，努力学习的PZer你好：


CFA原版书中有一段话把BPT和Markowitz’s portfolio theory做了对比。

"The optimal portfolio under BPT can differ from the perfectly diversified portfolio of Markowitz. In Markowitz’s portfolio theory, risk-averse investors construct diversified portfolios based on mean–variance analysis and consideration of the covariance between assets. They are concerned about the expected return and variance of the portfolio as a whole. In behavioral portfolio theory, however, investors construct their portfolios in layers and expectations of returns and attitudes toward risk vary between the layers. The resulting portfolio may appear well-diversified, but diversification is incidental to and not necessarily an objective of the portfolio construction."

这段话是说，行为金融学中的BPT的最佳投资组合与传统金融学中的Markowitz portfolio不同。 在Markowitz’s portfolio theory中，risk averse的投资者基于均值方差分析和对资产之间协方差的考虑（consideration of covariance between assets），构建了多元化的投资组合。 他们关注整个投资组合的预期收益和方差。

而在BPT中，投资者将投资组合分层构建，并且收益期望和风险态度在各层之间有所不同。 最终的投资组合可能看起来很多样化，但是多样化是投资组合构建的附带条件，并不一定是目标。

因此，虽然Steven “买了股票还买了bond。。。不是就是买点儿波动的买点儿稳定的互相hedge一下” , 但是这并不是根据mean-variance portfolio进行严谨的研究的出的optimal diversification, 这只是steven 由于mental accounting 带来的附加结果，所以不能说明steven take into consideration covariance between assets.


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滴滴姐姐~ · 2020年04月22日

第二次刷回这题一点新想法哈哈 好像就是考针对mental accounting这两个短句表述对不对哈哈哈 一开始想复杂了叭啊哈哈哈

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