恩,比上周的那次有趣很多
换乱的记了一点点东西,贴在这里备查
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Behavioral Finance:
1. Introduction and Background
2. A Closer Look at Behavioral Finance
3. Applications in Asset Management
4. Application in Optimal Investment Policy
Neoclassical Finance
Assumptions:
1. Rational Agents
2. Good and perfect information
3. Frictionless market
Predictions
1. Efficient market
2. Diversified risky portfolios
3. Irrelevance of institutional forms.
Behavioral Finance helps to better understand:
1. Investor behavior
2. asset pricing
3. Managerial behavior
Common Biases:
1. Representativeness/ overreaction
一个比较有趣的例子,分解成Bayes rule,说人可能会对其中的P(A|B)项overreact。 Confident should depend on the size of sample/
But overreaction make people neglect size of sample.
2. Conservatism/underreaction
Box 1: 30% red, 70% blue;
Box 2: 70% red balls, 30% blue
One box is chosen randomly, and out of the 12 balls chosen from it, 8 are red and 4 are blue, what is the probability that balls where drawn from Box 2?
Ans: 98%!!!
Key: 完全没有信息的时候,得到一个信息,容易过度反应。
有大量的先验知识的时候,容易underreact----市场上得到比较好的消息的时候,有时候会反映迟钝
3. Available Heuristic
4. Overconfidence
在瑞士90%的人认为自己的above average-----在股市上表现为很多人交易量很高
5. Narrow Framing
We look at a portfolio in isolation
题目I: which do you prefer:
a: 稳赚7600
b: 25%的概率不赚,75%的概率赚10000
听说一般人都选b----在只有盈利,没有损失的时候,一般人比较愿意take some risk
题目II:
c: 赔2500
d: 25%的概率赔10000,75%的概率不陪
一般人选c------在有损失的时候,很多人不愿意再有不确定因素
但是如果放在一起考虑,
a+d:25%赔2400,75%赚7600
b+c:25%赔2500,75%赚7500
怎么看都是a+d比较好--在孤立的看问题的时候,容易产生错觉
这是一个非常有趣的例子,虽然不太make sense---at least to me.
6. Loss Aversion/Disposition Effect
Prospect theory:
We care about gains and losses( vs. just final wealth)
We are lose averse
We overweight small probabilities ( e.g. lottery tickets)
Limited Arbitrage:
Correlated investor demand + limited arbitrage = price effects
Noise trader risk (interim price risk)-----那帮疯狂的sb小股民
Fundamental risk (or arbitrage model risk) -------类似当年抄马克的那帮可怜人
Implementation costs
某年Palm股票的事情,因为没有办法short Palm的股票,所以arbitrage看着很大,没法运作….
Delegated arbitrage and short horizon:
-----LTCM当年就是这么挂的,借钱太多,短期顶不住,挂了~~~-----索罗斯用自己的钱就没有这个问题,唉,有钱就是nb呀
用来做Asset Manage:
Portfolio Construction Methodology
1. 用BF作一些信号,和传统的手段一起使用,构建一些长期portfolio
Some technique
1. 引入短期(6-12month) momentum-----一般人的短期记忆在这个时间段
2. Long-term reveral (3-5 year , good performers start to do poorly)
3. Value premium (low PB stocks outperform)
4. Size( small stocks outperform)
….
根据以上标准,选一半最好的股票,outperform index。可以买好的一般,short index。
用来做控制员工:(风控)
1. 发现员工长期选股过于集中
2. trading 太多
3. disposition effect (sell decisions)------买涨的股票一方面不符合momentum,另外盈利会导致税收。
4. buying decisions( representativeness)
Avoid making mistakes:
1. Avoid overconfident
2. Accept the limits of your knowledge
3. Do not extrapolate recent behavior while underweighting long-term averages.
4. Accept your losses gracefully.
Tricks to avoid these biases:
Rephrasing the question (use the framing effect)
Put the question in a visual instead of verbal format( avoid abstractions)
Standard evaluation procedure are helpful
Do your sells outperform your buys
Do you have lots of sells right around the break-even point (if so, disposition effect)
Are you earning back your training costs ( overconfidence) .
Taking advantage of other’s mistakes
1. …
2. if you can afford the short-term…
3. try to find out what retail investors are doing, then do the opposite
4. Beware of investment sentiment, especially if you are a contrarian