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Volatility, Investment and Disappointment Aversion

Aizenman, Joshua - 2010

continue to hold even if the coefficient of relative risk aversion approaches zero (that is, even if the marginal utility of … income is constant so that agents are risk neutral in the conventional sense) …

Persistent link: https://www.econbiz.de/10012763700

Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds

Aizenman, Joshua - 2010

This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden...

Persistent link: https://www.econbiz.de/10013137768

International Portfolio Diversification with Generalized Expected Utility Preferences

Aizenman, Joshua - 2008

. We show that agents who maximize a GEU exhibit first order risk aversion and tend to refrain from di- versification in … risk aversion increases the threshold of yields leading to diversification, shifting the cone of diversification upwards … given domestic yield. Ceteris paribus, greater downside risk aversion reduces the feasible hetero- geneity of normalized …

Persistent link: https://www.econbiz.de/10012774958

Capital Markets Integration, Volatility and Persistence

Aizenman, Joshua - 2008

This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities...

Persistent link: https://www.econbiz.de/10012774994

Exchange Rate Flexibility, Volatility, and the Patterns of Domestic and Foreign Direct Investment

Aizenman, Joshua - 2021

The goal of this paper is to investigate the factors determining the impact of exchange rate regimes on the behavior of domestic investment and foreign direct investment (FDI), and the correlation between exchange rate volatility and investment. We assume that producers may diversify...

Persistent link: https://www.econbiz.de/10013232161

Volatility, Employment and the Patterns of FDI in Emerging Markets

Aizenman, Joshua - 2021

even for risk neutral multinationals, as their profit function is non-linear due to price and productivity effects. For …

Persistent link: https://www.econbiz.de/10013243418

Aid Volatility and Poverty Traps

Agenor, Pierre-Richard - 2013

This paper studies the impact of aid volatility in a two-period model where production may occur with either a traditional or a modern technology. Public spending is productive and quot;time to buildquot; requires expenditure in both periods for the modern technology to be used. The possibility...

Persistent link: https://www.econbiz.de/10012753834