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Fernanda, Nechio ; Fernanda, Nechio. (2010) Foreign stock holdings: the role of information.
In: Working Paper Series. RePEc:fip:fedfwp:2010-26.
Full description at Econpapers
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Following the Abel et. al. (2007), for simplicity, I also assume that a portfolio manager continuously rebalances the portfolio to maintain ...xed the proportion of assets invested in stocks. In this case, the portfolio return then follows a geometric Brownian motion; dR (tj; tj + s) R (tj; tj + s) = r + 0 ( R) ds + 0 p dZ: To solve the consumer's problem, I divide the problem in four steps: the consumption choice within two consecutive observation periods; the choice of riskless asset and the share invested in stocks; and two ...nal steps that uncover the value function and the optimal observational frequency.
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