A dynamic equilibrium model of imperfectly integrated financial markets

DOI10.1016/j.jet.2014.09.011zbMath1309.91131OpenAlexW3023685791MaRDI QIDQ472216

Nicolas Coeurdacier, Stéphane Guibaud, Harjoat S. Bhamra

Publication date: 19 November 2014

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00590775/file/wp200524.pdf

zbMATH Keywords

asset pricing with heterogeneous investorsfinancial integrationhome bias in portfoliosinternational stock return correlationstwo trees

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) General equilibrium theory (91B50) Portfolio theory (91G10) Heterogeneous agent models (91B69)

Related Items (2)

Asset prices in segmented and integrated markets ⋮ Unnamed Item

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