International investment barriers in general equilibrium

International portfolio diversification is better than you think

“…13 When the portfolio constraint is binding (i.e., a H À a à H ), the presence of the 11 Portfolio constraints of this type can arguably capture regulatory constraints faced by pension funds or insurance companies on the fraction of wealth they can invest abroad. Such constraints have been widely used in the literature, initially in the static international CAPM literature, e.g., Errunza and Losq (1985), Eun and Janakiramanan (1986), Hietala (1989), and more recently in dynamic models of international portfolio choice, e.g., Sellin and Werner (1993), Bhamra (2004), Pavlova and Rigobon (2008) or Soumare and Wang (2006). 12 In the symmetric case where all assets have the same risk-return profile and are uncorrelated, it is sufficient that the lower bound be higher than 1/N.…”

Intertemporal cross-border investment structures subjected to the equity holding constraint

“…Following the framework Sellin and Werner (1993) adopted, the domestic country D and the foreign country F have one representative investor each. Their subjective time discount rate is identical and *Corresponding author.…”

“…As Dumas (1989), Sellin andWerner (1993), Telmer (1993), Heaton and Lucas (1996), Judd (1998), Kogan and Uppal (2001) and Campbell et al (2003) note, this is a complex problem, and the literature does not have an explicit characterization in terms of exogenous variables so far. Thus, the study turns to the perturbation method to deal with this problem.…”

The impact of exchange rate risk on international asset pricing under various market structures

“…Basak (1996) andSellin and Werner (1993) have already shown that in an intertemporal model equilibrium interest rate is increased except for some special cases by market integration.…”