國際分散 포트폴리오의 利得과 費用

다국어 초록 (Multilingual Abstract)

This paper derives the gains from international portfolio diversification as a function of wealth, market characteristics, risk aversion and the intercountry correlation coefficient. A central question is the effect of diversification costs on the extent of diversification. The home bias is shown to depend upon the costs; the higher the costs are, the stronger will be the home bias. It is possible to interpret that the cost parameter is statistically significant if the regression parameter is significantly different from zero. Empirical tractability of the cost parameter is an important contribution of this paper. Another question is whether different investors would choose to hold different portfolios. It is shown that differences in portfolios depend on differences in investors' wealth. This is in contrast to the Black-Stulz-Errunza-Losq-type home biases in which all investors in a given country hold the same portfolio. Particular emphasis is focused on an explicit formulation of the demand for foreign assets as a function of the distribution of wealth and the costs of diversification. Essentially, the higher is wealth per capita, the higher is the percentage of wealth invested abroad.

목차 (Table of Contents)

• Ⅰ. 序論
• Ⅱ. 國際的 포트폴리오理論
• 定理1
• 定理2
• 定理3
• 定理4
• 定理5
• Ⅲ. 要約 및 結論
• 附錄
• 參考文獻