定量行为金融学短期班暨研讨会
Short Courses and Workshop on
Quantitative Behavioral Finance
June 26-28, 2013
Shanghai, China
会议主办单位:
会议协办单位：
华东师范大学风险管理与创新中心
华东师范大学商学院
上海定量金融研究者联盟
香港定量金融研究者联盟
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目录
会议信息 ................................................................................................. 3
议程 ......................................................................................................... 4
Abstracts .................................................................................................. 5
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会议信息
时间：2013 年 6 月 26—28 日；
地点：上海市中山北路 3663 号，华东师范大学逸夫楼（校长培训中心）
3 楼多功能厅
华东师范大学周围有轨道交通 3、4、13 号线（金沙江路站）
打的费用：从浦东国际机场到学校 200 元左右；从虹桥枢纽或虹桥机场到学校
35 元左右；从上海火车站到学校 25 元左右。
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议程
2013 年 6 月 26 日
8:45—9:00
9:00—9:40
9:40—10:20
10:20—10:50
10:50—11:30
11:30—12:10
开幕致辞
李端
姚京
茶歇
李心丹
金含清
12:10—14:30
14:30—15:30
15:30—16:00
16:00—17:00
6 月 27 日
午餐
何雪冬
茶歇
何雪冬
9:30—10:30
10:30—11:00
11:00—12:00
12:00—14:30
14:30—15:30
15:30—16:00
16:00—17:00
6 月 28 日
何雪冬
茶歇
何雪冬
午餐
周迅宇
茶歇
周迅宇
9:30—10:30
10:30—11:00
周迅宇
茶歇
11:00—12:00
12:00—14:00
14:00—14:40
14:40—15:20
15:20—15:50
15:50—16:30
16:30—17:10
周迅宇
午餐
曹希仁
夏建明
茶歇
许左权
Roy Kouwenberg
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Abstracts
Short Courses
Course 1：Introduction to Behavioral Finance
Xuedong He (Columbia University)
1. Introduction
- Three stages of decision-making under risk: editing and framing;
assessing probability; evaluating random payoffs.
- Rational assumption in neoclassical finance: ignore first stage; Bayes'
rule in second stage; EUT in third stage.
- Human behavior: framing effect and mental accounting in first stage;
use of heuristics leading to biases; CPT.
- Root of biases and irrationality
2. Framing effect and mental accounting
- Some experiments
- Example: realization utility and disposition effect
3. Heuristics in probability assessment
- Representativeness
- Anchoring
- Self deception
- Biases from social interaction
- Example: electoral market
4. Two examples of taking advantage of biases
- Save More Tomorrow program
- 10-30 rule for hedge fund managers
Course 2：Behavioral Portfolio Choice and Equilibrium
Xunyu Zhou (East China Normal University)
- Neoclassical Finance and Behavioral Finance: Expected utility theory,
expected utility theory challenged, behavioral theories - RDUT, CPT and
SP/A
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- Behavioral Portfolio Choice: Models, quantile formulation, solutions,
continuous time and time inconsistency
- Market Equilibrium and Asset Pricing under RDUT: An Arrow-Debreu
economy, individual optimality, representative agent, CCAPM and
interest rate, equity premium and risk-free rate puzzles
Workshop
Title: Bounded rationality as a source of loss aversion and optimism:
A study of psychological adaptation under incomplete information.
Li Duan (The Chinese University of Hong Kong)
Abstract: We develop a formal model to investigate the implications of
bounded rationality for the origin and structure of loss aversion and
optimism in marketplaces. Based on Simon's original description, we
explicitly model bounded rationality as a decision mechanism that
captures incomplete information, psychological adaptation, and rational
behavior. We find that the endogenous loss aversion and optimism
emerge when the degree of information incompleteness reaches a certain
threshold, and both grow to be more prominent when information
becomes sparser. Our results highlight that the psychological biases could
be expected to take advantage of perceived information incompleteness in
terms of value creation.
Title: Prospect theory and trading patterns
Yao Jing (Fudan University)
Abstract: Reference dependence, loss aversion, and risk seeking for
losses together comprise the preference-based component of prospect
theory that sets its value function apart from the standard risk-aversion
model. Using an elasticity analysis, we show that this distinctive
preference component serves to underpin negative-feedback trading
propensities, but cannot manifest itself in behavior directly or holistically
at the individual-choice level. We then propose and demonstrate that the
market interaction between prospect-theory investors and regular CRRA
investors allows this preference component to dominate in equilibrium
behavior and hence helps to reestablish the intuitive link between
prospect-theory preferences and negative-feedback trading patterns. In
the model, the interaction also reconciles the contrarian behavior of
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prospect-theory investors with asymmetric volatility and short-term
return reversal. The results suggest that prospect-theory preferences can
lead investors to behave endogenously as contrarian noise traders in the
market interaction process.
Title：Investor Behavior and Financial Innovation: An Empirical
Study on Callable Bull/Bear Contracts
Li Xindan (Nanjing University)
Abstract: Since the first trade of callable bull/bear contracts (CBBCs) in
Hong Kong Exchange and Clearing Limited, the market size of this kind
of contracts has been growing amazingly. The existing literature has
different (model sensitive) views on the reason of the popularity of
CBBCs. In this paper, based on an analysis of the investor behavior, we
present a model-free explanation for the popularity of CBBCs. Essentially,
investors treat CBBCs as lottery-tickets: they like to trade CBBCs that are
very likely to be called back shortly and meanwhile overweight the
probability that those CBBCs won’t be called back, which in turn
overestimate the contracts’ prices. Based on a conservative estimation,
investors lost 1.32 billion HKD in trading CBBCs written on Hang Seng
Index. This seemingly irrational phenomenon can be understood in the
context of cumulative prospect theory. Our findings are also consistent
with the recent hypothesis that financial intermediaries cater to investors
preference by engineering products that meet investors’ needs but will
generate negative investment return. In particular, our analysis highlights
the joint effects of rational expectations and cumulative prospect theory
in financial innovation.
Title: Investment Decision without Time Consistency
Jin Hanqing (Oxford University）
Abstract: An investment problem in a dynamic financial market can be
formulated as a control problem. When the objective of the investment
problem is good enough, the optimal trading strategy for the investment
problem starting from time 0 is still optimal for the same investment
problem starting from any future time (i.e., the optimality is time
consistent), hence we can use dynamic programming to find the optimal
trading strategy. In this talk, I will show some examples where the
"optimal" trading strategy determined at time 0 is not optimal for the
problem in the future. I will then re-define the solution for this type of
control problem, and apply the result to the mean-variance
investment problem in a continuous time financial market.
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Title: Non-linear Expected Utility - Local and Global Properties
Cao Xiren (Shanghai Jiaotong University)
Abstract: We study the theory of preference over random prospects with
unbounded outcomes in $[0,\infty)$ by an axiomatic approach; the
distributions of random prospects may contain atoms. We first discuss the
general properties with the unbounded outcomes. Then we show that in
the unbounded setting, Yaari’s dual independent axiom can be
decomposed into two axioms, the quasi-linearity and the independence
with respect to addition, and find the form of representations with the first
axiom and both axioms together, respectively. We further show that the
axiom of independence with respect to addition is equivalent to a local
linearity axiom, which characterizes a local property called
mono-linearity. Our work provides an axiomatic description for the
preference model of Machina and Chew et al.; it can be viewed as a
bridge of both Yaari's dual theory and smooth preference model of
Machina and Chew et al., and it extends their results to unbounded
outcome spaces.
Title: Arrow-Debreu Equilibria for Rank-Dependent Utilities with
Heterogeneous Probability Weightings
Xia Jianming (Chinese Academy of Sciences)
Abstract: In this talk I will introduce the existence of Arrow-Debreu
equilibria for rank-dependent utilities with heterogeneous probability
weightings. This is based on a joint work with Hanqing Jin and Xun Yu
Zhou.
Title: Portfolio Choice via Quantile Function: A New Approach
Xu Zuoquan (The Hong Kong Polytechnic University)
Abstract: We consider a portfolio choice problem under cumulative
prospect theory (CPT) in this talk. The problem is formulated as an
optimization problem over quantile functions of the decision variables.
We propose a short, neat and easily followed method to solve this
quantile optimization problem without using the method of calculus of
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variations or making any unusual assumptions. This approach covers
existing and new models with law-invariant preference measures
including the portfolio choice model under CPT or rank-dependent utility
theory (RDUT), Yaari’s dual model, Lopes’ SP/A model, and the optimal
stopping model under CPT or RDUT.
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