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International Portfolio Diversification and Labor/Leisure Choice / Urban J. Jermann.
- Format:
- Book
- Author/Creator:
- Jermann, Urban J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w6382.
- NBER working paper series no. w6382
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1998.
- Summary:
- When marginal utility of consumption depends on leisure, investors will take this into account when allocating their wealth among different assets. This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor-leisure and consumption are chosen endogenously. We use this framework to study the effect of leisure for optimal international diversification. We find that in the symmetric case the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and leisure.
- Notes:
- Print version record
- January 1998.
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