论文标题
系统经济中的市场高效投资组合
Market Efficient Portfolios in a Systemic Economy
论文作者
论文摘要
我们从集中式规划师的角度研究了市场价格最小偏离基本价值的最小化市场效率的最小化。价格是由针对银行的杠杆式贸易行为施加压力的，这是对资产冲击的响应重新平衡其投资组合的压力。我们以两个主要驱动因素的效率来表征市场的效率低下，银行的系统意义和资产冲击的统计时刻，并为资产持有矩阵的明确表达提供了最小化这种低效率的矩阵。我们的分析表明，为了降低效率低下，如果银行的系统意义几乎没有异质性，则投资组合持有量应该偏离完全多元化策略。
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of leverage targeting banks, which rebalance their portfolios in response to asset shocks. We characterize market inefficiency in terms of two key drivers, the banks' systemic significance and the statistical moments of asset shocks, and develop an explicit expression for the matrix of asset holdings which minimizes such inefficiency. Our analysis shows that to reduce inefficiencies, portfolio holdings should deviate more from a full diversification strategy if there is little heterogeneity in banks' systemic significance.
