Systemic Risk and International Portfolio Choice
发现国际股票收益存在同时发生的跳跃，即系统性风险，并建立模型分析其对投资者最优投资组合的影响，发现系统性风险对高杠杆头寸的惩罚远大于对分散化收益的削弱。
ABSTRACT Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk . We capture these stylized facts using a multivariate system of jump‐diffusion processes where the arrival of jumps is simultaneous across assets. We then determine an investor's optimal portfolio for this model of returns. Systemic risk has two effects: One, it reduces the gains from diversification and two, it penalizes investors for holding levered positions. We find that the loss resulting from diminished diversification is small, while that from holding very highly levered positions is large.