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IMF Staff Papers, Volume 47, No. 2
International Monetary Fund. Research Dept.
出版International Monetary Fund, 2000-01-01
主題Business & Economics / Economics / MacroeconomicsBusiness & Economics / Investments & Securities / Commodities / GeneralBusiness & Economics / Money & Monetary Policy
ISBN145197423X9781451974232
URLhttp://books.google.com.hk/books?id=PpEYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋This paper analyzes portfolio diversification, leverage, and financial contagion. It studies the extent to which basic principles of portfolio diversification explain “contagious selling” of financial assets when there are purely local shocks. The paper demonstrates that the elementary portfolio theory offers key insights into “contagion.” Most important, portfolio diversification and leverage are sufficient to explain why an investor will find it optimal to significantly reduce all risky asset positions when an adverse shock impacts just one asset.