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Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles

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Pierpaolo Benigno

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Abstract

A dynamic model of consumption and portfolio decisions is analyzed in which agents seek robust choices against some misspecification of the model probability distribution. This near-rational environment can at the same time explain an imperfect international portfolio diversification and break the link between cross-country consumption correlation and real exchange rate as it is usually implied by standard preference specifications. Portfolio decisions imply moment restrictions on asset prices that are useful to extract information on the degree of near-rationality present in the data.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 13173.

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Date of creation: Jun 2007
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Handle: RePEc:nbr:nberwo:13173

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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

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This page was last updated on 2009-12-5.

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