British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach
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1870-1913 年英国海外投资：现代投资组合理论方法
DOI：
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
W. Goetzmann
中科院分区：
文献类型：
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作者：
Andrey D. Ukhov;W. Goetzmann
许多学者询问，英国投资者是否从19世纪的海外投资中受益，这种资本输出是否产生了负面影响。我们用现代投资组合理论重新审视这个问题。我们研究了英国投资者的投资机会，信息传输技术的发展，以及当时金融和投资理论的进步。我们使用均值方差优化技术，考虑到风险和回报的特点，国内和国际投资提供给英国投资者，并量化国际多元化的好处。有证据表明，资本输出是机会和对多样化的理解的结果。外国资产提供较高的回报率，但同样重要的是，它们提供了巨大的多样化好处。即使当-通过设置每个外国资产类别的预期回报等于相应的英国资产类别-我们把外国资产处于不利地位，我们发现，这是理性的英国投资者，包括外国债务和股票的投资组合。
Many scholars have asked whether British investors benefited from overseas investment investing in the 19th century and whether this export of capital had negative effects. We re-visit the issue using modern portfolio theory. We examine the set of investment opportunities available to British investors, the developments in information transmission technology, and advances in financial and investment theory at the time. We use meanvariance optimization techniques to take into account the risk and return characteristics of domestic and international investments available to a British investor, and to quantify the benefits from international diversification. Evidence suggests that capital export was a consequence of both the opportunity and the understanding of diversification. Foreign assets offered higher rates of return, but equally important, they offered significant diversification benefits. Even when - by setting expected return on each foreign asset class equal to that of the corresponding UK asset class - we put foreign assets at a disadvantage, we find that it was rational for a British investor to include foreign debt and equity in the portfolio.