【EJOR】Hedging political risk in international portfolios 国际投资组合中的政治风险对冲——卫丽君分享

科研基地组织前沿文献研读交流会，卫丽君围绕2025年发表于Elsevier 旗下国际运筹交叉权威 SCI 期刊European Journal of Operational Research的论文Hedging political risk in international portfolios作主题汇报。

研究表明，国际分散化投资组合存在显著的政治风险溢价，同时会让投资者暴露于尾部风险之中。本文基于偏态分布的投资组合选择模型，分别在对政治风险进行对冲与未对冲的情况下推导出政治有效前沿，并设计了一种新的渐近推断检验方法用于对比不同的组合绩效。针对美国、欧元区和日本的投资者，对冲政治风险后的投资组合表现均优于宽基市场指数和等权投资组合。政治风险对冲的作用无法被汇率对冲覆盖，即便叠加汇率对冲与交易成本摩擦，政治风险对冲投资组合的分散化收益依然存在。对冲政治风险会催生股票本土偏好，但并不能完全解释这一现象。

ABSTRACT

We show that internationally diversified portfolios carry sizeable political risk premia and expose investors to tail risk. We obtain political efficient frontiers with and without hedging political risk using a portfolio selection model for skewed distributions and develop a new asymptotic inference test to compare portfolio performance. Politically hedged portfolios outperform a broad market index and the equally weighted portfolio for US, Eurozone, and Japanese investors. Political risk hedging is not subsumed by currency hedging, and the diversification gains of politically hedged portfolios persist under currency hedging and transaction cost frictions. Hedging political risk induces equity home bias but does not fully explain the puzzle.