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International portfolio diversification with generalized expected utility preferences
Aizenman, Joshua - 1997
Persistent link: https://www.econbiz.de/10000625187
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International portfolio diversification with generalized expected utility preferences
Aizenman, Joshua - In: The Canadian journal of economics 32 (1999) 4, pp. 995-1008
Persistent link: https://www.econbiz.de/10001409472
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International Portfolio Diversification with Generalized Expected Utility Preferences
Aizenman, Joshua - 1997
suggest that part of the diversifi- cation puzzle may be due to reliance on the conventional CAPM model as the benchmark …. 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 …
Persistent link: https://www.econbiz.de/10012472856
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International Portfolio Diversification with Generalized Expected Utility Preferences
Aizenman, Joshua - 2008
suggest that part of the diversifi- cation puzzle may be due to reliance on the conventional CAPM model as the benchmark …. 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 …
Persistent link: https://www.econbiz.de/10012774958
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Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
Aizenman, Joshua; Glick, Reuven - 2010
Persistent link: https://www.econbiz.de/10008666984
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Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
Aizenman, Joshua; Glick, Reuven - 2010
This paper presents a model comparing the optimal 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...
Persistent link: https://www.econbiz.de/10008688996
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Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
Aizenman, Joshua; Glick, Reuven - 2010
This paper presents a model comparing the optimal 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...
Persistent link: https://www.econbiz.de/10008698323
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Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds
Aizenman, Joshua; Glick, Reuven - 2010
Persistent link: https://www.econbiz.de/10008698350
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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/10012462264
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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