NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

International Portfolio Choice and Asset Pricing: An Integrative Survey

Rene M. Stulz

NBER Working Paper No. 4645
Issued in February 1994
NBER Program(s):   AP   CF

In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.

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Document Object Identifier (DOI): 10.3386/w4645

Published: Handbook of Modern Finance, R. Jarrow, M. Maximovich, and W. Ziemba, 1995,pp. 201-228

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