Incomplete observation, filtering, and the home bias puzzle

Michiko Ueda

doi:10.1016/s0165-1765(98)00202-x

Incomplete observation, filtering, and the home bias puzzle

Michiko Ueda

Department of Political Science

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

This paper tries to explain the home bias puzzle by incompleteness of observation. Our result suggests that investors invest more in domestic asset when they are allowed to observe the process of foreign asset only partially.

Original language	English (US)
Pages (from-to)	75-80
Number of pages	6
Journal	Economics Letters
Volume	62
Issue number	1
DOIs	https://doi.org/10.1016/s0165-1765(98)00202-x
State	Published - Jan 1 1999

Keywords

F30
G11
Home bias puzzle
International portfolio diversification
International risk-sharing
Optimal portfolio choice
Stochastic filtering

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/s0165-1765(98)00202-x

Cite this

@article{00414b92eda24947b2e3fe29322cbb8d,

title = "Incomplete observation, filtering, and the home bias puzzle",

abstract = "This paper tries to explain the home bias puzzle by incompleteness of observation. Our result suggests that investors invest more in domestic asset when they are allowed to observe the process of foreign asset only partially.",

keywords = "F30, G11, Home bias puzzle, International portfolio diversification, International risk-sharing, Optimal portfolio choice, Stochastic filtering",

author = "Michiko Ueda",

year = "1999",

month = jan,

day = "1",

doi = "10.1016/s0165-1765(98)00202-x",

language = "English (US)",

volume = "62",

pages = "75--80",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Incomplete observation, filtering, and the home bias puzzle

AU - Ueda, Michiko

PY - 1999/1/1

Y1 - 1999/1/1

N2 - This paper tries to explain the home bias puzzle by incompleteness of observation. Our result suggests that investors invest more in domestic asset when they are allowed to observe the process of foreign asset only partially.

AB - This paper tries to explain the home bias puzzle by incompleteness of observation. Our result suggests that investors invest more in domestic asset when they are allowed to observe the process of foreign asset only partially.

KW - F30

KW - G11

KW - Home bias puzzle

KW - International portfolio diversification

KW - International risk-sharing

KW - Optimal portfolio choice

KW - Stochastic filtering

UR - http://www.scopus.com/inward/record.url?scp=0033482047&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0033482047&partnerID=8YFLogxK

U2 - 10.1016/s0165-1765(98)00202-x

DO - 10.1016/s0165-1765(98)00202-x

M3 - Article

AN - SCOPUS:0033482047

SN - 0165-1765

VL - 62

SP - 75

EP - 80

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Incomplete observation, filtering, and the home bias puzzle

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this