Incomplete observation, filtering, and the home bias puzzle

DOI10.1016/S0165-1765(98)00202-XzbMath0915.90030OpenAlexW2033591679MaRDI QIDQ1277723

Michiko Ueda

Publication date: 2 March 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00202-x

zbMATH Keywords

stochastic filteringoptimal portfolio choiceinternational risk-sharinginternational portfolio diversificationhome bias puzzle

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (2)

Valuation of power option for uncertain financial market ⋮ Valuation of stock loan under uncertain environment

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• On the Separation Theorem of Stochastic Control
• Stochastic differential equations. An introduction with applications.

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