安同學(xué)
2019-11-11 20:23請問老師prospect theory, expected utility theory 和behavioral portfolio theory 的區(qū)別是什么？
所屬：CFA Level III > Behavioral Finance 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Peter F助教
2019-11-12 11:16
該回答已被題主采納
同學(xué)，你好：
Kahneman and Tversky’s prospect theory explains apparent deviations in decision making from the rational decisions of traditional finance. These deviations result from overweighting low probability outcomes, underweighting moderate and high probability outcomes, and having a value function for changes in wealth (gains and losses) that is in general concave for gains, convex for losses, and steeper for losses than for gains.
As a result, people are risk-averse when there is a moderate to high probability of gains or a low probability of losses; they are risk-seeking when there is a low probability of gains or a high probability of losses. This is consistent with people simultaneously buying lottery tickets and insurance while investing money conservatively.（可以參看講義上的 PPT 的圖）
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追答
Within prospect theory, loss aversion is proposed as an alternative to risk aversion.
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追答
This implies that utility functions are concave and exhibit diminishing marginal utility. （可以參考 Utility Function of Wealth 這一頁 PPT 上的圖）
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追問
Reading7的原版書后習(xí)題，第一題和第五題都提到了這三個theory，上面的解釋僅僅針對prospect theory,其他兩個理論expected utility theory和behaviral portfolio theory 怎么理解？
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追答
同學(xué)，你好：expected utility—the weighted sum of the utility values of outcomes multiplied by their respective probabilities—subject to their budget constraints，即主觀加權(quán)平均的 utility, behavioral portfolio theory is a goal-based theory，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。
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