ITEM METADATA RECORD
Title: International dynamic asset allocation and the effect of the exchange rate
Authors: Smedts, Kristien
Issue Date: 2004
Publisher: K.U.Leuven, Faculty of Economics and Applied Economics : Department of Economics
Series Title: CES - Discussion Paper Series (DPS)04.04 pages:1-26
Abstract: This paper analyzes a stylized theoretical framework to examine optimal portfolio selection in an international context with an explicit focus on the effect of the exchange rate. More specifically, we study how the elimination of the exchange rate induces shifts in the optimal international portfolio. We show that the effect of the elimination of the exchange rate on the optimal portfolio is twofold. First, the volatility of the international portfolio changes (volatility effect of the exchange rate), and second, the national market prices of risk converge to common international market prices of risk (price effect of the exchange rate). This induces important shifts in the optimal international portfolio.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Administrative and Support Services, Faculty of Economics and Business, Leuven - miscellaneous (-)
Research Center Finance, Leuven

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