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Asset liquidity and international portfolio choice

✍ Scribed by Geromichalos, Athanasios; Simonovska, Ina

Book ID
121672322
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
464 KB
Volume
151
Category
Article
ISSN
0022-0531

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This paper solves for optimal international portfolio choice in the presence of liquidity constraints and undiversiΓΏable labor income risk. Optimal portfolios are internationally diversiΓΏed while positive correlation between domestic stock market returns and permanent labor income shocks can generat