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Portfolio choices with near rational agents : a solution to some international-finance puzzles

Author: Pierpaolo Benigno; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2007.
Series: Working paper series (National Bureau of Economic Research), no. 13173.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A dynamic model of consumption and portfolio decisions is analyzed in which agents seek robust choices against some misspecification of the model probability distribution. This near-rational environment can at the same time explain an imperfect international portfolio diversification and break the link between cross-country consumption correlation and real exchange rate as it is usually implied by standard  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Pierpaolo Benigno; National Bureau of Economic Research.
OCLC Number: 144608858
Description: 1 online resource (1 volume).
Series Title: Working paper series (National Bureau of Economic Research), no. 13173.
Responsibility: Pierpaolo Benigno.

Abstract:

A dynamic model of consumption and portfolio decisions is analyzed in which agents seek robust choices against some misspecification of the model probability distribution. This near-rational environment can at the same time explain an imperfect international portfolio diversification and break the link between cross-country consumption correlation and real exchange rate as it is usually implied by standard preference specifications. Portfolio decisions imply moment restrictions on asset prices that are useful to extract information on the degree of near-rationality present in the data.

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