经济不景气时该躲在哪里?还是应该继续进行国际多元化?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2016-07-01 DOI:10.2139/ssrn.2812623

Redouane Elkamhi, D. Stefanova

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引用次数: 0

摘要

国际股票市场的风格化特征之一是显著的非对称非线性依赖和相关性的上升趋势。这些特点让人质疑投资者在国际上分散投资的努力。我们提出了一个模型来捕捉那些众所周知的国际股票指数回报特征。将它们置于一个动态的投资组合问题中，我们通过在其投资组合中加入外国资产来评估偏向于本国的投资者的收益。我们发现，在标准均值-方差投资组合政策的基础上考虑对冲的最优动态需求，可以从国际投资组合敞口中获得可观的收益。从长期投资的角度来看，这种收益将变得越来越可观。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Where to Hide in Bad Times: Or Should One Still Diversify Internationally?

Among the stylized features of international equity markets is the pronounced asymmetric nonlinear dependence and upward trend in correlations. Such features call into question investors' efforts to diversify internationally. We propose a model to capture those well understood characteristics of international equity index returns. Casting them in a dynamic portfolio problem, we evaluate the gains for a home-biased investor from including foreign assets in her portfolio. We find that accounting for the optimal dynamic demand for hedging on top of a standard mean-variance portfolio policy brings substantial benefits from international portfolio exposure. Such benefits become increasingly sizeable over long investment horizons.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.