International Portfolio Choice in an Overlapping Generations Model with Transactions Costs

This paper studies the implications for international portfolio diversification of a simple OLG model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs is sufficient to reproduce the large home bias observed in the composition of portfolios.

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Year of publication:	2002
Authors:	Carmichael, Benoît ; Coën, Alain
Institutions:	Département d'Économique, Université Laval
Subject:	Home bias \| Overlapping generations model \| Transaction costs

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Classification:	F41 - Open Economy Macroeconomics ; G11 - Portfolio Choice ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005696477