In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

We pursue a cross-country comparison of relative financial readiness of older households in Japan and the Republic of Korea relative to the United States. Our comparative analysis, using macro-level and harmonized longitudinal household financial data, covers the principal financial channels of...