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• W2017494772 abstract "Abstract International portfolio models consistently predict that investors should put much more of their wealth into foreign assets than they actually do—a result known as ‘home asset bias’. We use actual international portfolio data to show how model misspecification contributes to this bias. We find that three widely-used simplifying assumptions produce optimal portfolio weights that are significantly different from the weights produced by an unsimplified model. In particular, imposing the invalid assumption that PPP holds exaggerates the degree of ‘home asset bias’. These findings suggest that researchers should pay greater attention to empirical model specification in the future." @default.
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• W2017494772 date "1996-04-01" @default.
• W2017494772 modified "2023-09-26" @default.
• W2017494772 title "Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias" @default.
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• W2017494772 doi "https://doi.org/10.1016/0261-5606(95)00046-1" @default.
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