A dynamic equilibrium model of imperfectly integrated financial markets
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Publication:472216
DOI10.1016/j.jet.2014.09.011zbMath1309.91131MaRDI QIDQ472216
Nicolas Coeurdacier, Stéphane Guibaud, Harjoat S. Bhamra
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
asset pricing with heterogeneous investors; financial integration; home bias in portfolios; international stock return correlations; two trees
91G70: Statistical methods; risk measures
91G80: Financial applications of other theories
91B50: General equilibrium theory
91G10: Portfolio theory
91B69: Heterogeneous agent models
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