A General Equilibrium Model of International Portfolio Choice
构建了一个两国一般均衡模型，研究消费对本国商品的偏好是否必然导致投资者偏好本国证券。模型发现，风险厌恶程度低于对数效用函数的投资者会偏向本国资产，而风险厌恶程度更高的投资者则偏好外国资产，因此消费中的本国商品比例高并不能解释实际观察到的投资组合。
ABSTRACT We investigate, in a two‐country general equilibrium model, whether a bias in consumption towards domestic goods will necessarily lead to a preference for domestic securities. We develop a model where investors are constrained to consume only from their domestic capital stock and where it is costly to transfer capital across countries. In this model, investors less risk averse than an investor with log utility bias their portfolios towards domestic assets. Investors more risk averse than log, however, prefer foreign assets. Thus, this model suggests that it is unlikely that the portfolios observed empirically can be explained by the high proportion of domestic goods in total consumption.