| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089130 | Journal of Banking & Finance | 2013 | 12 Pages |
Abstract
⺠We analyze international portfolio choice using behavioural portfolio theory (BPT). ⺠We characterize the existence of the optimal portfolio in individual markets. ⺠We explore properties of the optimal portfolio and investors' hedging behaviour. ⺠We show that the aggregate portfolio is typically not mean-variance efficient. ⺠We show that the loss in efficiency depends on the BPT investors' risk attitudes.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chonghui Jiang, Yongkai Ma, Yunbi An,