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International Portfolio Choice and Asset Pricing: An Integrative Survey

  • Rene M. Stulz

In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 4645.

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Date of creation: Feb 1994
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Publication status: published as Handbook of Modern Finance, R. Jarrow, M. Maximovich, and W. Ziemba, 1995,pp. 201-228
Handle: RePEc:nbr:nberwo:4645
Note: AP CF
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