TY  - JOUR
AU  - Jermann,Urban J.
TI  - International Portfolio Diversification and Labor/Leisure Choice
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6382
PY  - 1998
Y2  - January 1998
UR  - http://www.nber.org/papers/w6382
L1  - http://www.nber.org/papers/w6382.pdf
N1  - Author contact info:
Urban Jermann
Finance Department
Wharton School of the University of Pennsylvania
3620 Locust Walk
Philadelphia, PA  19104
Tel: 215/898-4184
Fax: 215/898-6200
E-Mail: jermann@wharton.upenn.edu
AB  - When marginal utility of consumption depends on leisure, investors will take this into account when allocating their wealth among different assets.  This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor-leisure and consumption are chosen endogenously.  We use this framework to study the effect of leisure for optimal international diversification.  We find that in the symmetric case the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and leisure.
ER  -