International Portfolio Choice in an Overlapping Generations Model with Transactions Costs

Benoît Carmichael and Alain Coën

Cahiers de recherche from Université Laval - Département d'économique

Abstract:

This paper studies the implications for international portfolio diversification of a simple OLG model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs is sufficient to reproduce the large home bias observed in the composition of portfolios.

Keywords: Home bias; Overlapping generations model; Transaction costs (search for similar items in EconPapers)
JEL-codes: F41 G11 G15 (search for similar items in EconPapers)
Date: 2002
New Economics Papers: this item is included in nep-cfn, nep-dge and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:lvl:laeccr:0207

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