A Dynamic Equilibrium Model of International Portfolio Holdings: Comment
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چکیده
منابع مشابه
A Dynamic Equilibrium Model of International Portfolio Holdings: Comment By
ONE OF THE MAIN PUZZLES in international finance is portfolio home bias: typical investors hold most of their wealth in domestic assets (despite the fact that international diversification permits a sizable reduction in risk). Serrat (2001) claims that the nontradable nature of many consumption goods explains home bias. He presents a model of a world with two countries that receive tradable and...
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Section A of this Appendix provides further discussions of the error in Serrat's analysis. Sections B provide more intuition on Serrat's economy. Serrat considers an economy with continuous time, and he uses specialized mathematics. To better understand Serrat's economy, I found it useful to study a discrete time variant of that economy. Solving that variant is straightforward. All key results ...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2006
ISSN: 0012-9682,1468-0262
DOI: 10.1111/j.1468-0262.2006.00656.x