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 -- working paper 13173; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13173.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/30/2007.

Includes bibliographical references.

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