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今天也要来一杯 · 2019年12月27日

问一道题：NO.PZ201511190100000404

  1. CFA III
  2. Behavioral Finance

* 问题详情，请 查看题干

问题如下：

Which investment portfolio is least likely to deviate from the mean–variance portfolio?

选项：

A.

Patel.

B.

Perez.

C.

Johnson.

解释：

B is correct.

Perez has primarily cognitive error biases. Accordingly, it is likely that, with education, the impact of these biases can be reduced or even eliminated. Because cognitive biases dominate, Wang should seek to moderate the effect of these biases and adopt a program to reduce or eliminate the bias rather than accept the bias. The result will be a portfolio that is similar to the mean–variance portfolio.

mean–variance portfolio是指在传统金融学理论下才会有的么？三个人都不符合啊？答案写通过education可以改变，没理解如何区别谁可以被改变、谁不能

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1 个答案

企鹅_品职助教 · 2019年12月28日

嗨，爱思考的PZer你好：


mean-variance portfolios属于传统金融学，是指相同风险下收益率是最大的组合。理性的投资者会选择mean variance portfolio，因为这样的组合是通过数学上的最优化求解求出来的。但是行为金融学认为，人不是完美的，是有行为偏差的，所以人会偏离mean variance portfolio。有 cognitive error认知错误的人，是可以通过教育去纠正他的偏差的，所以教育后这个人的资产配置可以接近 mean variance portfolio。反之，emotional bias的人，情感情绪是人的本能，基因里带来的，很难改变，所以这样的投资者会偏离mean variance portfolio。

本题问的是谁的投资“least likely to deviate”, 最不可能偏离，也就是问谁的投资最可能是mean variance portfolio. 所以，这道题是在问谁是更偏向理性投资。因为Perez主要是cognitive, 所以选B。


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NO.PZ201511190100000404 问题如下 Whiinvestment portfolio is least likely to viate from the mean–varianportfolio? A.Patel. B.Perez. C.Johnson. B is correct.Perez hprimarily cognitive error biases. Accorngly, it is likely that, with ecation, the impaof these biases creceor even eliminate Because cognitive biases minate, Wang shoulseek to morate the effeof these biases anapt a progrto reor eliminate the birather thaccept the bias. The result will a portfolio this similto the mean–varianportfolio. 不太理解为什么cognitive更不会偏离mean-varianportfolio？2.还有一个问题，这里的Perez和Patel哪个是PP，哪个是FF啊？感觉很难区分，然后我做的时候是认为Perez是PP，Patel是FF，所以第2，4题都选错了。。

2022-12-06 13:06 1 · 回答

NO.PZ201511190100000404 问题如下 Whiinvestment portfolio is least likely to viate from the mean–varianportfolio? A.Patel. B.Perez. C.Johnson. B is correct.Perez hprimarily cognitive error biases. Accorngly, it is likely that, with ecation, the impaof these biases creceor even eliminate Because cognitive biases minate, Wang shoulseek to morate the effeof these biases anapt a progrto reor eliminate the birather thaccept the bias. The result will a portfolio this similto the mean–varianportfolio. 如题。

2022-11-02 20:56 1 · 回答

NO.PZ201511190100000404 问题如下 Whiinvestment portfolio is least likely to viate from the mean–varianportfolio? A.Patel. B.Perez. C.Johnson. B is correct.Perez hprimarily cognitive error biases. Accorngly, it is likely that, with ecation, the impaof these biases creceor even eliminate Because cognitive biases minate, Wang shoulseek to morate the effeof these biases anapt a progrto reor eliminate the birather thaccept the bias. The result will a portfolio this similto the mean–varianportfolio. 考点不应该是组合过于集中吗？所以不可能产生均值回归？

2022-08-25 22:28 1 · 回答

NO.PZ201511190100000404 Perez. Johnson. B is correct. Perez hprimarily cognitive error biases. Accorngly, it is likely that, with ecation, the impaof these biases creceor even eliminate Because cognitive biases minate, Wang shoulseek to morate the effeof these biases anapt a progrto reor eliminate the birather thaccept the bias. The result will a portfolio this similto the mean–varianportfolio. 答案是从FF，cognitive多，可以改进，所以更可能接近mvo。但是我觉得，A直接说了他想主投东家的股票，这怎么可能是MVO？B说想投国内的，肯定也不是。只有C最胆小，没有啥偏好，最可能mvo。

2022-06-27 14:39 1 · 回答

NO.PZ201511190100000404 对于emotionbias，Perez只有regret aversion, Johnson只有overconfince。这么看来两人在被教育后都有相同程度的viation吧？还是说Johnson的home bias也属于emotionbias？

2021-04-12 03:58 1 · 回答