| 暧昧与国际资产组合选择 |
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| 引用本文： | 张顺明,王彦一,陈之娴,依布拉音&#,巴斯提.暧昧与国际资产组合选择[J].系统工程理论与实践,2016,36(10):2465-2476. |
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| 作者姓名： | 张顺明 王彦一 陈之娴 依布拉音&# 巴斯提 |
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| 作者单位： | 1. 新疆财经大学 金融学院, 乌鲁木齐 830012;2. 中国人民大学 财政金融学院, 北京 100872 |
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| 基金项目： | 国家自然科学基金（71273271，71573220）；中国人民大学重大基础研究计划（14XNL001） |
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| 摘 要： | 本文考察了当资产存在暧昧不确定性时的国际资产组合选择问题.本文以Maccheroni,Marinacci和Ruffino提出的模型框架为基础,对世界上26个主要国家和地区的跨国资产组合选择进行了实证情况的度量和判断,利用横截面和短面板存在异方差的OLS回归模型(包括混合OLS和加入固定与随机效应考虑的回归).可以发现,国内投资者更倾向于持有与国内资产相似、但纯风险更小,暧昧风险补偿为正的国外资本.另外,在选取的样本国中发现存在本地偏好的情况.
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| 关 键 词： | 暧昧 国际资产组合选择 本地偏好 |
| 收稿时间： | 2016-01-18 |
Ambiguity and international portfolio choice |
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| ZHANG Shunming,WANG Yanyi,CHEN Zhixian,Ibrayim Basit.Ambiguity and international portfolio choice[J].Systems Engineering —Theory & Practice,2016,36(10):2465-2476. |
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| Authors: | ZHANG Shunming WANG Yanyi CHEN Zhixian Ibrayim Basit |
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| Institution: | 1. School of Finance, Xinjiang University of Finance and Economics, Urumqi 830012, China;2. School of Finance, Renmin University of China, Beijing 100872, China |
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| Abstract: | This paper explores the international assets portfolio choice under ambiguity uncertainty. Based on the model developed by Maccheroni, Marinacci and Ruffino, this paper construct an explanation of international portfolio choice among equity markets in 26 major countries and regions impacting on cross-border investments, using OLS regression in cross-sectional and short-panel types with heteroskedasticity. The research finds that the investors are inclined to hold the foreign equities which tend to be more similar to the domestic equities, less pure risky and gaining a positive ambiguity parameter. Besides, this paper also demonstrates that equity home bias exists. |
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| Keywords: | ambiguity international portfolio choice equity home bias |
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