Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002
across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains … that, while systemic risk affects the allocation of wealth between the riskless and risky assets, it has a small effect on … international diversification – for an investor with a relative risk aversion of 3 and a horizon of one year, the certainty …