A Cultural Explanation of the Foreign Bias in International Asset Allocation

2009 ◽  
Author(s):  
Sjoerd Beugelsdijk ◽  
Bart Frijns
Keyword(s):  
Asset Allocation ◽  
International Asset Allocation ◽  
Cultural Explanation

Lessons for International Asset Allocation

1993 ◽  
Vol 49 (2) ◽  
pp. 63-77 ◽  
Author(s):  
Patrick Odier ◽  
Bruno Solnik
Keyword(s):  
Asset Allocation ◽  
International Asset Allocation

scholarly journals Where to make an investment? If home political risk occurs

2014 ◽  
Vol 12 (1) ◽  
pp. 589-598
Author(s):  
Wen-Lin Wu
Keyword(s):  
Asset Allocation ◽  
Political Risk ◽  
Jump Diffusion ◽  
Political Risks ◽  
Numerical Result ◽  
Poisson Jump ◽  
Portfolio Decision ◽  
International Asset Allocation ◽  
International Investors ◽  
Foreign Assets

n this paper, we put political risk into the model of international asset allocation to analyze international investors’ decisions. We assume that when home investors have perceived home political risks, they override other factors of their portfolio decision and move to hold more foreign assets to hedge those risks. To model political risk, we use a stochastic differential equation with a Poisson jump diffusion process to simulate international asset allocation. The numerical result confirms our hypothesis, i.e., foreign bias exists. That is, home investors would prefer to hold more foreign assets than the optimal asset allocation to hedge against home political risk

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