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Portfolio choice and the effects of liquidity

✍ Scribed by Ana González; Gonzalo Rubio

Book ID
107689711
Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
575 KB
Volume
2
Category
Article
ISSN
1869-4187

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