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The effects of portfolio size on international equity home bias puzzle

✍ Scribed by Jinlan Ni


Book ID
113664285
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
219 KB
Volume
18
Category
Article
ISSN
1059-0560

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International portfolio choice, liquidit
✍ Alexander Michaelides πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 526 KB

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