Dynamic portfolio adjustment and capital controls: a Euler equation approach.
A multiasset dynamic portfolio balance model is developed based on the maximization of an intertemporal utility function in consumption when investors perform under uncertainty, quadratic adjustment costs, and capital market regulations. Portfolio data of the German private sector for the period 19...
| Publicado en: | Southern Economic Journal Vol. 64; no. 4; pp. 902 - 922 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Southern Economic Association
April 1998
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511052445&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511052445 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00384038 SEJ jtl: Southern Economic Journal issn: 00384038 maglogo: N pubinfo: dt: April 1998 vid: 64 iid: 4 pid: 1482 pub: Southern Economic Association artinfo: ui: 511052445 10.2307/1061210 ppf: 902 ppct: 20 formats: fmt: @attributes: type: T tig: atl: Dynamic portfolio adjustment and capital controls: a Euler equation approach. aug: au: Broer, D. Peter Jansen, W. Jos su: Euler theorem Portfolio management (Investments) Moments method (Statistics) Foreign investments Securities Germany (West) sug: subj: Germany (West) Euler theorem Portfolio management (Investments) Moments method (Statistics) Foreign investments Securities keyword: Investments, West German (Domestic) Portfolio theory ab: A multiasset dynamic portfolio balance model is developed based on the maximization of an intertemporal utility function in consumption when investors perform under uncertainty, quadratic adjustment costs, and capital market regulations. Portfolio data of the German private sector for the period 1975Q1-1990Q1 are used to estimate the model's structural parameters. The results show that asset demand is insensitive to return changes and that adjustment costs are low but highly significant, giving rise to moderate lags of adjustment. However, existing capital controls and adjustment costs cannot explain the observed “home bias” in the portfolio. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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