We provide new evidence that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate...

We provide new evidence that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate...

We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...

This paper investigates the effect of financial education on foreign portfolio investment. We show that higher investor financial education fosters international diversification, and that its role is particularly pronounced where information problems and monitoring costs are likely to be more...

An investment is a commitment of funds made in the expectation of some positive rate of return. A fundamental principle of investments is diversification, where investors diversify their investments into different types of financial assets. The different stocks can be clubbed in one portfolio....

Many papers in recent years have examined the benefits of adding alternative assets to traditional portfolios containing stocks and bonds. Bitcoin has emerged as a new alternative investment for investors which has attracted much attention from the media and investors alike. However relatively...

Given an investment universe, we consider the vector ρ(w) of correlations of all assets to a portfolio with weights w. This vector offers a representation equivalent to w and leads to the notion of ρ-presentative portfolio, that has a positive correlation, or exposure, to all assets. This...

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return...