迷失在多元化中
Lost in Diversification
摘要：
随着金融工具复杂性的增加，越来越多的信息被风险优化实践所忽视。这揭开了风险起源不透明的帷幕，而这一直是2007-2008年全球金融危机的罪魁祸首之一。我们讨论如何损失的透明度可以量化位，使用信息理论的概念。我们发现，{ \em i）}金融转型意味着大量的信息损失，{ \em ii）}只有当基本面分析对资产的共同运动有足够的信息时，投资组合才比个股更敏感，{ \em iii）}证券化，在相关的参数范围内，产生比原始股票信息敏感度低的资产，并且{ \em iv）}当多样化（或证券化）处于最佳状态时（即当资产不相关时），信息损失最大。我们还讨论了是否可以引入定价方案来处理信息损失的问题。这与传递收集风险起源方信息的激励措施有关。在一个简单的均值方差方案中，我们发现，市场激励一般不足以使信息收集可持续。
英文摘要：
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008 global financial crisis. We discuss how the loss of transparency may be quantified in bits, using information theoretic concepts. We find that {\em i)} financial transformations imply large information losses, {\em ii)} portfolios are more information sensitive than individual stocks only if fundamental analysis is sufficiently informative on the co-movement of assets, that {\em iii)} securitisation, in the relevant range of parameters, yields assets that are less information sensitive than the original stocks and that {\em iv)} when diversification (or securitisation) is at its best (i.e. when assets are uncorrelated) information losses are maximal. We also address the issue of whether pricing schemes can be introduced to deal with information losses. This is relevant for the transmission of incentives to gather information on the risk origination side. Within a simple mean variance scheme, we find that market incentives are not generally sufficient to make information harvesting sustainable.
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