A dynamic equilibrium model of imperfectly integrated financial markets

DOI10.1016/J.JET.2014.09.011MaRDI QIDQ472216zbMATH OpenOpenAlexFDO

Authors Harjoat S. Bhamra, Nicolas Coeurdacier, Stéphane Guibaud

Publication date 19 November 2014

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00590775/file/wp200524.pdf

zbMATH Keywords

asset pricing with heterogeneous investorsfinancial integrationhome bias in portfoliosinternational stock return correlationstwo trees

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) General equilibrium theory (91B50) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)

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Cites work

• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A Dynamic Equilibrium Model of International Portfolio Holdings
• A Dynamic Equilibrium Model of International Portfolio Holdings: Comment
• Accuracy in Simulations
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Asymptotic methods for asset market equilibrium analysis
• Capital Market Equilibrium with Differential Taxation *
• Financial globalization and real regionalization
• Forward-backward stochastic differential equations and their applications
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• The Lucas orchard
• The Role of Portfolio Constraints in the International Propagation of Shocks

Cited in

(14)

• Asset prices in segmented and integrated markets
• A model of financial pyramid with quasi-rational participants
• A model of financial markets with endogenously correlated rational beliefs
• A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities
• International Equity Flows and Returns: A Quantitative Equilibrium Approach
• Folded bivariate distributions as models for magnitude correlation
• The home bias in equities and distribution costs
• Dynamic Models of Financial Markets with Heterogeneous Agents
• Asset liquidity and international portfolio choice
• Cross-border returns differentials
• Dynamic equilibrium and volatility in financial asset markets
• scientific article; zbMATH DE number 1072512 (Why is no real title available?)
• Atlas models of equity markets
• Model of the financial coalition in dynamics

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