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Global Investment: Risk Management

Global Investment: Risk Management. Chenghsien Tsai Department of Risk Management and Insurance National Chengchi University. The Benefits of Global Investments. Larger Investment Opportunity Sets More efficient portfolios Higher returns and/or less risk. However.

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Global Investment: Risk Management

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  1. Global Investment: Risk Management Chenghsien Tsai Department of Risk Management and Insurance National Chengchi University

  2. The Benefits of Global Investments • Larger Investment Opportunity Sets • More efficient portfolios • Higher returns and/or less risk

  3. However • Involve one additional risk factor: foreign exchange rate • Parameter Estimation Risk (not to mention model risk)

  4. Exhibit 1 in Eichhorn, Gupta, and Stubbs (1998)

  5. Exhibit 3

  6. Exhibit 5

  7. Exhibit 6

  8. Exhibit 8

  9. More Concerns • Information Asymmetry • Agency Problems

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