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第7讲The Global Capital Market Performance and Policy Problems(国际金融(香港大学,WONG Ka Fu)
The Global Capital Market: Performance and Policy Problems WONG Ka Fu 10th April 2000 The growing international capital market Why diversify our portfolio? Most people are risk averse. Gamble half the time you win $1000 half the time you lose $1000 average payoff = 1/2*(1000) + 1/2*(-1000) = 0 A risk averse agent weighs the possibility of losing 1000 more than the possibility of winning 1000 and hence will not gamble. Portfolio diversification W: wealth of a typical investor, to be divided between home and foreign assets. ?: proportion of wealth allocated to home assets. Two states: state 1 with probability q, state 2 with probability (1-q) State 1 (with probability q) a unit of wealth invested in the home asset pays out H1 units of output, and a unit of wealth invested in the foreign assets pays out F1 units of output. C1 = [? H1 + (1-?)F1 ] ? W State 2 (with probability 1-q) a unit of wealth invested in the home asset pays out H2 units of output, and a unit of wealth invested in the foreign assets pays out F2 units of output. C2 = [? H2 + (1-?)F2 ] ? W Expected utility maximization Choose ? to maximize q U(C1) + (1-q) U(C2) For risk averse agent, U is concave Diminishing marginal U: the increase of U due to a 1000 units of consumption gain is less than the decrease of U due to a 1000 units of consumption loss. Optimal portfolio Optimal portfolio, ?, is often between zero and one. That is , a risk-averse agent would like to diversify its asset holding into home as well as foreign assets. Investors from two different countries may cross-hold others assets. Main actors Same as foreign exchange market commercial banks, large corporations (particularly those with multinational operations), nonbank financial institutions (insurance companies, pension funds, and mutual funds) central banks (foreign exchange intervention), and other government agencies Offshore banking Offshore banking: the business that foreign bank or domestic banks’ foreign o
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