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 composition of portfolios.

Download Info

To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info

Paper provided by Université Laval - Département d'économique in its series Cahiers de recherche with number 0207.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2002
Date of revision:
Handle: RePEc:lvl:laeccr:0207

Contact details of provider:
Postal: Pavillon J.A. De S�ve, Qu�bec, Qu�bec, G1K 7P4
Phone: (418) 656-5122
Fax: (418) 656-2707
Email:
Web page: http://www.ecn.ulaval.ca
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Johanne Perron).

Related research

Keywords: Home bias; Overlapping generations model; Transaction costs;

Find related papers by JEL classification:
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

This paper has been announced in the following NEP Reports:

• NEP-ALL-2003-04-09 (All new papers)
• NEP-CFN-2003-04-09 (Corporate Finance)
• NEP-DGE-2003-04-09 (Dynamic General Equilibrium)
• NEP-FIN-2003-04-09 (Finance)

Did you know? You may want to explore EconPapers, which displays the same data as IDEAS in a different way.

This page was last updated on 2009-12-15.