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14#
发表于 2013-5-4 13:46
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VR has the correct answer. BPT investor builds portfolios with lottery tickets and insurance policies , not a comprehensive constrained mean variance optimized portfolio.
He first builds the riskless layer by considering a mental account which never loses more than 200k at the most. This is the insurance layer . There are NO guarantees in layer 2 , which is a moderate risk layer . there is a guarantee of 1% in layer 1 , which is riskless. An insurance policy invokes a constraint of the wealth never falling below some aspirational level ( in this case 1.8 M). I think you have to read the layer 2 probability of loss carefully . -3% with 10% probability .So 10% loss with what probability ? Is it 0% probability? No. I bet there is some finite probability that it will lose 10% , i.e. wealth falls to below 1800000.
Mr. BPT Investor cannot tolerate this utility point of view . He needs to be sure in riskless layer and totally risky in risky layer
So he builds the risky layer where he aspires to gain 100k. This is the lottery ticket layer.
Here CPK is correct . Aspirationally layer 2 can never provide 5% return , while layer 3 can . BPT Investor has worked with first two of Shefrin/Statman’s 5 factors of BPT Portfolio construction:
1. Allocation to layers depends on goals.More important the goal more the allocation . Here layer 1 has greater allocation ( nearly 4 times layer 3 )
2. Allocation within layer depends on the aspiration for the layer . So the risky layer aspiration of loss is ( absolute maximum ) loss of 200 k , which is 50% of layer 3 allocation.
Allocation within risky layer tries for 5% gain . Layer 2 can only provide 4.6% . Layer 3 can do ~ 25% . Sounds like a lottery ticket
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