Systemic Risk and International Portfolio Choice |
Contents
Introduction | 1 |
8935 | 10 |
Deriving the unconditional moments for returns | 16 |
2 other sections not shown
Common terms and phrases
accounts for systemic asset pricing asset returns assume Bekaert borrowing and shortselling CEPR characteristic function comparative static constraints correlations cost of ignoring covariance Descriptive statistics developed countries discussed in Section Discussion Papers Economic effect of systemic emerging countries emerging economies equity indexes estimated value excess kurtosis expected returns Financial horizon ignores systemic risk implying initial wealth intermediate consumption international diversification international portfolio investment in risky investor who accounts investor who ignores investor's parameter jump term jump-diffusion processes jumps in returns Kolmogorov backward equation method of moments models returns numbers optimal portfolio weights parameter estimates parameter of relative portfolio choice portfolio diversified portfolio selection process for returns pure-diffusion process random variable regime relative risk aversion reported returns process riskless asset riskless interest rate risky assets second asset Solnik stochastic systemic jumps total investment volatility w1+w2 systemic weights and CEQ