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A General Equilibrium Model of International Portfolio Choice
16 references·16 citing·38 second hopsampled
A General Equilibrium Model of International Portfolio Choice (1993)A General Equilibrium Model of Internatio…Theory of rational option pricing (2005)Theory of rational option pri…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…A model of international asset pricing (1981)A model of international asse…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…When bonds matter: Home bias in goods and assets (2016)When bonds matter: Home bias …The International Diversification Puzzle Is Not as Bad as You Think (2013)The International Diversifica…An international CAPM for partially integrated markets: Theory and empirical evidence (2012)An international CAPM for par…International portfolios, capital accumulation and foreign assets dynamics (2009)International portfolios, cap…Home bias and high turnover: Dynamic portfolio choice with incomplete markets (2009)Home bias and high turnover: …Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies (2009)Equilibrium Commodity Prices …International Portfolios with Supply, Demand and Redistributive Shocks (2007)International Portfolios with…International asset pricing under segmentation and PPP deviations (2007)International asset pricing u…International Portfolio Equilibrium and the Current Account (2006)International Portfolio Equil…Exchange rate volatility and international trade: A general-equilibrium analysis (2003)Exchange rate volatility and …Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns (2002)Testing constancy of correlat…“The bigger they are, the harder they fall”: Retail price differences across U.S. cities (2002)“The bigger they are, the har…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…A Dynamic Equilibrium Model of International Portfolio Holdings (2001)A Dynamic Equilibrium Model o…Transaction costs and international portfolio diversification (1999)Transaction costs and interna…Evaluating the gains from international risksharing (1995)Evaluating the gains from int…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Option pricing: A simplified approach (1979)
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1981A model of international asset pricing807 cited
  • 1981

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On the Effects of Barriers to International Investment
699 cited

Cited by

  • 2002“The bigger they are, the harder they fall”: Retail price differences across U.S. cities147 cited
  • 2002Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns144 cited
  • 1995Evaluating the gains from international risksharing142 cited
  • 2013The International Diversification Puzzle Is Not as Bad as You Think134 cited
  • 2016When bonds matter: Home bias in goods and assets125 cited
  • 2009International portfolios, capital accumulation and foreign assets dynamics113 cited
  • 2006International Portfolio Equilibrium and the Current Account105 cited
  • 2009Home bias and high turnover: Dynamic portfolio choice with incomplete markets93 cited
  • 2001A Dynamic Equilibrium Model of International Portfolio Holdings81 cited
  • 2007International Portfolios with Supply, Demand and Redistributive Shocks73 cited
  • 2009Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies73 cited
  • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework69 cited
  • 2003Exchange rate volatility and international trade: A general-equilibrium analysis65 cited
  • 1999Transaction costs and international portfolio diversification63 cited
  • 2007International asset pricing under segmentation and PPP deviations62 cited
  • 2012An international CAPM for partially integrated markets: Theory and empirical evidence62 cited