Lecture

International Portfolio Allocation

In course

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Description

This lecture covers the Intertemporal Capital Asset Pricing Model, CRRA utility, and empirical evidence on home bias in international portfolio allocation. It discusses the optimization problem faced by representative agents in maximizing expected utility over two periods, considering the allocation of assets across different countries. The lecture also explores the implications of efficient allocations and the principles of comparative advantage in international trade.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_c6y5vwg3

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Ontological neighbourhood

Economics

Macroeconomics: Markets

Theoretical computer science

Algorithms and data structures: Combinatorial optimization

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