| Description |
1 online resource (32 pages) : illustrations |
| Series |
IMF working paper ; WP/07/163.
|
| Contents |
C. Solution: Relative VariablesII. Supporting Portfolio; A. Returns on Assets; 1. Return on Human Capital; 2. Returns on Equities; 3. Solution: Portfolio Allocation; References |
| Summary |
This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous results in literature, the optimal portfolio of the traded-good sector equities is no longer a well diversified portfolio and becomes sensitive to parameter values. As a result, the model often generates extreme home bias or anti-home bias portfolios implying that some frictions in asset markets, which prevent agents from holding these extreme portfolios, can explain the lack of international risk sharing |
| Bibliography |
Includes bibliographical references (pages 30-32) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
English |
|
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
|
Print version record |
| Subject |
Business cycles -- Econometric models
|
|
Portfolio management -- Econometric models
|
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Business cycles -- Econometric models
|
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Portfolio management -- Econometric models
|
| Form |
Electronic book
|
| Author |
International Monetary Fund. Research Department.
|
| ISBN |
1282447963 |
|
9781282447967 |
|
1451911807 |
|
9781451911800 |
|
1462331610 |
|
9781462331611 |
|
1452711771 |
|
9781452711775 |
|
9786613821164 |
|
6613821160 |
|
9781451867275 |
|
1451867271 |
|
