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Excess Returns, Portfolio Choices and Exchange rates Dynamics. The Yen/Dollar Case, 1980-1998

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Author Info
Andrade, P.
Bruneau, C.

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Abstract

We built a portfolio choice model in which agents are heterogeneous and possibly draw systematic rational forecast errors.

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Publisher Info
Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 9836.

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Date of creation: 1998
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Handle: RePEc:fth:pnegmi:9836

Contact details of provider:
Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.

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Related research
Keywords: EXCHANGE RATE ; FINANCIAL MARKET ; FORECASTS U.F.R. de science economiques; gestion; mathematiques et informatique; 200; avenue de la Republique 9 2001 Nanterre CEDEX. 43p.;

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F30 - International Economics - - International Finance - - - General
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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