Financial Innovation and Portfolio Risks
通过一个包含风险分担需求和信念分歧的例子，说明金融创新如何影响投资组合风险，发现当信念分歧较大时，产品创新和过程创新都会增加投资组合风险，且内生金融创新倾向于增加风险的投机性资产。
I illustrate the effect of financial innovation on portfolio risks by using an example with risk-sharing needs and belief disagreements. I consider two types of innovation: product innovation, formalized as an expansion of new financial assets; and process innovation, formalized as a reduction in transaction costs. When belief disagreements are large, both types of innovation increase portfolio risks. Moreover, endogenous financial innovation is directed towards speculative assets that increase portfolio risks.