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Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles / Pierpaolo Benigno.
- Format:
- Book
- Author/Creator:
- Benigno, Pierpaolo.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13173.
- NBER working paper series no. w13173
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Portfolio Choices with Near Rational Agents
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2007.
- Summary:
- 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.
- Notes:
- Print version record
- June 2007.
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