International Portfolio Choice and Asset Pricing: An Integrative Survey

René Stulz

No 4645, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

Date: 1994-02
Note: AP CF
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Citations: View citations in EconPapers (36)

Published as Handbook of Modern Finance, R. Jarrow, M. Maximovich, and W. Ziemba, 1995,pp. 201-228

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