Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Research Department.
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| ISBN: | 1282447963
9781282447967
1451911807
9781451911800
1462331610
9781462331611
1452711771
9781452711775
9786613821164
6613821160
9781451867275
1451867271
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| Notes: | Includes bibliographical references (pages 30-32).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous results in literature, the optimal portfolio of the traded-good sector equities is no longer a well diversified portfolio and becomes sensitive to parameter values. As a result, the model often generates extreme home bias or anti-home bias portfolios implying that some frictions in asset markets, which prevent agents from holding these extreme portfolios, can explain the lack of international risk sharing.
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| Other form: | Print version: Matsumoto, Akito. Role of nonseparable utility and nontradeables in international business cycles and portfolio choice. [Washington, D.C.?] : International Monetary Fund, ©2007
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| Standard no.: | 10.5089/9781451911800.001
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