A Dynamic Equilibrium Model of International Portfolio Holdings

DOI10.1111/1468-0262.00254zbMATH Open1019.91030OpenAlexW2145370541MaRDI QIDQ4531040FDOQ4531040

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

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zbMATH Keywords

Malliavin calculuspricing kernelshome-bias puzzle

Mathematics Subject Classification ID

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

Cited In (29)

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

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