Investors hold a substantially larger proportion of their wealth portfolios in domestic assets
than standard portfolio theory would suggest, a phenomenon called “equity home bias.” In …

Home bias is a perennial feature of international capital markets. We review various
explanations of this puzzling phenomenon highlighting recent developments in …

Finance theory can be used to form informative prior beliefs in financial decision making.
This paper approaches portfolio selection in a Bayesian framework that incorporates a prior …

In this paper, we study intertemporal portfolio choice when an investor accounts explicitly for
model misspecification. We develop a framework that allows for ambiguity about not just the …

Returns on international equities are characterized by jumps; moreover, these jumps tend to
occur at the same time across countries leading to systemic risk. We capture these stylized …

According to standard portfolio theory, the tangency portfolio is the only efficient stock
portfolio. However, empirical studies show that an investment in the global minimum …

Purpose–This paper aims to explore how fund managers (FMs) deal with major problems of
ignorance and uncertainty in stock selection and in asset allocation decisions …

Estimates of the gains to international risk-sharing based upon stock returns tend to find
dramatically higher gains than do estimates from consumption-based models. In this paper, I …

The paper develops measures of home bias for 42 countries over the period 2001 to 2011
by employing various models: international capital asset pricing model (ICAPM), classical …

The benefits derived from international portfolio diversification into foreign nations (including
the less developed countries) are well documented, yet this practice is discouraged due to …