A Dynamic Equilibrium Model of International Portfolio Holdings

DOI10.1111/1468-0262.00254MaRDI QIDQ4531040zbMATH OpenOpenAlexFDO

Authors Angel Serrat

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00254

zbMATH Keywords

home-bias puzzleMalliavin calculuspricing kernels

Mathematics Subject Classification ID

Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cited in

(30)

• International capital markets and redundant securities
• A simple model of corporate international investment under incomplete information and taxes
• International portfolio flows with growth shocks
• Cojumps and asset allocation in international equity markets
• On trees and logs
• International portfolio choice in an overlapping generations model with transaction costs
• The completeness and incompleteness of financial markets in economies driven by diffusion processes
• A dynamic stochastic programming model for international portfolio management
• Equilibrium portfolios in the neoclassical growth model
• Jump-diffusion international asset allocation
• A method for solving general equilibrium models with incomplete markets and many financial assets
• Cross-border returns differentials
• EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
• UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
• The Role of Portfolio Constraints in the International Propagation of Shocks
• Asset liquidity and international portfolio choice
• A measure of pure home bias
• Uncertainty aversion, robust control and asset holdings
• The home bias in equities and distribution costs
• A dynamic equilibrium model of imperfectly integrated financial markets
• International portfolio selection model with exchange rate risk
• International Equity Flows and Returns: A Quantitative Equilibrium Approach
• British Investment Overseas 1870–1913: A Modern Portfolio Theory Approach*
• Infrequent Random Portfolio Decisions in an Open Economy Model
• Domestic taxation and international portfolio choice
• A general equilibrium analysis of strategic arbitrage
• Complete and incomplete financial markets in multi-good economies
• International portfolio choice, liquidity constraints and the home equity bias puzzle
• Country portfolio dynamics
• International cross-holdings of bonds in a two-good DSGE model

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