Contagion as a Wealth Effect
用连续时间模型描述金融传染作为财富效应，涉及两种风险资产和三类交易者，发现收敛交易者亏损时在双市场平仓导致波动和相关性上升，削弱分散化收益并带来风险管理问题。
Financial contagion is described as a wealth effect in a continuous‐time model with two risky assets and three types of traders. Noise traders trade randomly in one market. Long‐term investors provide liquidity using a linear rule based on fundamentals. Convergence traders with logarithmic utility trade optimally in both markets. Asset price dynamics are endogenously determined (numerically) as functions of endogenous wealth and exogenous noise. When convergence traders lose money, they liquidate positions in both markets. This creates contagion, in that returns become more volatile and more correlated. Contagion reduces benefits from portfolio diversification and raises issues for risk management.