第7讲The Global Capital Market Performance and Policy Problems(国际金融(香港大学,WONG Ka Fu).ppt

下载文档 降价啦

5
0
约1.7万字
约 60页
2017-08-13 发布于湖北
举报
版权申诉
保障服务

第7讲The Global Capital Market Performance and Policy Problems(国际金融(香港大学,WONG Ka Fu).ppt

1、本文档共60页，可阅读全部内容。
2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。

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