This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE of a portfolio is a valid, exible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing measures,...

This paper revisits Fama and French [Fama, Eugene F., French, Kenneth R., (1993) Common risk factors in the returns on stock and bonds. Journal of Financial Economics 33 (1), 3-56] and Carhart [Carhart, Mark M., 1997. On persistence in mutual fund performance. Journal of Finance 52 (1), 57-82]...

Open economy extensions of real business cycle models, even if generally successful, have met some difficulties replicating a few important stylized facts. In particular these models tend to predict excessive consumption smoothing and consumption correlation across countries. The observed...

Cet exposé s'attarde à expliquer les mouvements dans la productivité du travail. Le but de cet ouvrage est de tester les résultats théoriques de Horning (1994). Celui-ci propose des mouvements procycliques du "labour hoarding" comme solution aux problèmes encourus par les modèles des...

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...