Portfolio choices with near rational agents
Subtitle: a solution to some international-finance puzzles
By: Pierpaolo Benigno.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- no. 13173.; Working paper series (National Bureau of Economic Research) -- working paper no. 13173.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 34
Subjects: Portfolio management -- Decision making -- Econometric models; Consumption (Economics) -- Econometric models
Description: "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."--abstract.
Notes: "June 2007"

Includes bibliographical references (p. 28-30).

Also available in PDF from the NBER world wide web site (www.nber.org).