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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.

Abstract

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

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Bibliographic 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.

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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Cited by:
  1. Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris West - Nanterre la Défense, EconomiX.
  2. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.

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