投資決策中的人機交互.pdf

1、Human-Robot Interactions in Investment DecisionsMilo Bianchi(TSE)-Marie Brire(Amundi,Universit Libre de Bruxelles&Universit Paris Dauphine PSL)9thIPRA conference,June 20242The ContextRecent advances in technologies:possibilites to offer financial services in an innovative wayIndividuals are more and

2、 more responsible of their pension savings decisions Reduction in pay-as-you-go pension benefits Gradual shift from DB to DC pension fundsCan robo-advisors help improve pension savings decisions?3Complex investment decisions:Numerous biasesIn particular for investors with low financial literacy(Guis

3、o et al.,2003;Lusardi and Mitchell,2014;Bianchi,2018)Low participation to the stock marketHigher for wealthyhouseholds,more financiallyeducated(Calvet et al.,2009;Van Rooij et al.,2011)Insufficient diversification In average 2 stocks(Polkovnichenko,2005),employer stockMisunderstanding of diversifica

4、tion benefits(vonGaudecker,2015)Domestic or familiaritybias(Coval and Moskowitz,1999;Bekaert et al.,2015;Massa et Simonov,2006;Bianchi and Tallon 2018)Limited attentionInvestors observe their portolio infrequently,more in rising markets(“Ostrichteffect”,Olafsson and Pagel,2021)v4Can Technology Help?

5、Robo-advisors Online platform providing financial advice or allowing automated management of a portfolio of assets Direct digital relationshipHow they work Define goals Assess personal preferences Construct and communicate optimal investment strategy Alerts are sent/portfolios rebalanced automatical

6、lyGlobal robo-advice market is around$1.5 trn AUMs worldwide are projected to reach$2.3 trn in 2027(Statista)5Robo-advisorsTypes of robo-advisors(European Parliament,2021)PersonalizedRobo-adviceManagedaccountSoftware provides investment advice based on clients preferencesClient makes investment deci

7、sionSoftware manages financial instruments on behalf of the client,rebalancing the portfolioThe robo-advisor does not need client approval for investment decisionsRelies on human-robot interaction6The Promises of Robo AdvisorsImproved clients knowledge and personalization Detailed questionnaire Part

8、nerships with financial account aggregators,platforms of investment,lending,and tax calculationReduced bias in clients treatment But in practice,robots are mainly used by young peopleFinancial inclusion By reducing costs,new technologies can reach traditionally under-served Robo-advisors require low

9、er initial capital to open an account They charge lower fees than human advisors7Human-Robot InteractionsAre robots intended to replace or promote investors judgement and actions?Humans-in-the-loop may be harmful to performance Ge et al.(2021)on peer-to-peer lending,Green and Chen(2019)on judges dec

10、isionsBut human-robot interactions can reduce algo aversion Algo aversion can be partly overcome when letting people chose(Dietvorst et al.,2018;Burton et al.2020)Long-term effects of robo advice:promote learning and financial capabilities?Optimal degree of automation?8This PaperRobo-advisor introdu

11、ced by AMUNDI on Employee Savings Plans Robo builds the investors profile,suggests a portfolio allocation,and sends alerts over time in case of deviations from the targetInvestors are the ultimate decision makers(as opposed to managed accounts)Focus on human-robo interaction:intelligence augmentatio

12、n(IA)rather than AI,often about substitutionSample includes investors with small portfolios,little experience and typically no access to financial advice Large debate on financial inclusion and financial inequalitiesExploit knowledge of the robo rules and different sources of variation Allows addres

13、sing self-selection issues9Main ResultsSignificant changes in investors decisions when robot provides investment and rebalancing recommendations while investors retain full control on their portfolio?Increased attention after take up(complementarity)Increased risk exposure(+3%)Increased trading and

14、rebalancing activities Increased portfolio returns(+2%)Automatic rebalancing would improve only marginally Cost of letting people chose is small(5bp)But significant heterogeneity across investors Investors are less likely to follow the recommendation during bear markets10DataEmployee Savings Plans E

15、ach year,employees receive a sum of money that they allocate between a menu of funds proposed by their employer Investment is locked in either for 5 years or until retirement Employees can increase their investment and rebalance their portfolio over time as they wishOur sample:all robo-takers(14,635

16、 employees-out of 1.2M exposed)and a random sample of 20,000 robo-curious(+20,000 non-exposed,20,000 exposed not-takers)Account level data(portfolio choices,returns,risk)+digital footprints(connections)+robo data(profile,proposed allocation)Sample period Jan 2016/Jun 2021 Robo introduction in Sept 2

17、017 Monthly frequency11DataRobo-treatment Elicits information(risk-aversion,financial knowledge,horizon)Proposes an allocation,and if accepted implements it Sends email alerts if current allocation is too far from proposed allocation12Basic SpecificationDifference-in-difference(OLS)regressions Contr

18、ol group are robo-curious(did the 1st profiling but didnt take the service)Standard errors are clustered at the individual/month level13Impact on Attention and TradingRobot is associated to an increased level of attention and trading+0.28 connexions per month(avg=1);0.09 additional trades per month(

19、avg=0.05)Investors do not take the robo as a substitute for their own attention True even beyond the time of its subscription and the time of reception of the variable remunerationCol 2:we exclude month of variable rem;Col 3:we exclude month of robo-subscriptionCol 4:all trades;Col 5:robo-trades;Col

20、 6:individual trades wo robot14The Role of AlertsAlerts associated with increased attention and rebalancing towards the target More connexions(+0.31)and rebalancing(+0.29)per month(curious=0.14 and 0.10 resp.)Reduction in the distance to the target allocationWe compare the impact of robo-alerts with

21、 counterfactual alerts for curiousCol 4&5:restricted to robo takers,comparing robo-alerts with MIF alerts15Impact on(Dynamic)Risk TakingRobot is associated to an increased asset allocation to risky assets+3%in total equity share(avg 22%)+2%in realized returns Similar impact when considering expected

22、 returns from a 5-factor modelBack of the enveloppe calculation:over 17Y,final wealth would increase by 17KE for an avginvestor with 34kE16Static vs Dynamic Effects“Curious close”are a sub-sample of robo-curious with similar allocation than robo-takers when they experimented the robo 1295 investors

23、with difference in equity share 5%They only differ from robo takers in the way they rebalance their portfolio over time Static effect of the robot=0;dynamic effect measured from the return difference with robo-takers17Impact on Performance(comparing to Curious Close)1%of increase returns is due to d

24、ynamic effect(portfolio rebalancing)18The Cost of Letting People ChooseThe cost of letting people choose is minimal Counterfactual=automatic rebalancing at the time of alerts Annual cost=5 bp compared to automatic rebalancing Significant heterogeneity across investorsSource:Amundi ESR,authors calcul

25、ation19Who Rebalances on Alerts and When?Small impact of demographic characteristics,less rebalancing in bear markets Young,female and smaller investors less likely to rebalance20DiscussionRobo allows to induce significant changes in investors behavior Increased attention,risk taking,trading activit

26、y Change in dynamic behaviors(rebalancing towards the target allocation)Increase risky exposure when subsequent risky returns are larger Improved performanceThe cost of letting people choose is minimal Less rebalancing during bad timesRole of human-robot interactions Keeping humans ultimate decision

27、 makers brings trust Human robot interactions can improve financial capabilitiesOpen questions Long term effects?Effects in bad times?21ReferencesBianchi M.and M.Brire(2024),Human-Robot Interactions in Investment Decisions,Forthcoming in Management Science.Bianchi M.and M.Brire(2021),Augmenting Inve

28、stment Decisions with Robo-Advice,https:/ M.and M.Brire(2021),Robo-Advising:Less AI and More XAI?,https:/ data used to carry out this study come from the processing of record keeping and account keeping of AMUNDI ESR employee and pension savings accounts.Thesedata have been analyzed anonymously for

29、scientific,statistical or historical research purposes.MENTIONS LGALESAmundi Asset ManagementSocit Anonyme au capital social de 1 086 262 605 eurosSocit de Gestion de Portefeuille agre par lAMF sous le n GP 04000036Sige social:90,boulevard Pasteur-75015 Paris-FranceAdresse postale:90,boulevard Pasteur CS21564-75730 Paris Cedex 15-FranceTl.+33(0)1 76 33 30 30Siren:437 574 452 RCS Paris-Siret:43757445200029-Code APE:6630 Z-N Identification TVA:FR58437574452