International Portfolio Allocation under Model Uncertainty
重新审视了用对冲实际汇率风险来解释国际股票投资本土偏好的老观点，发现国内股票能有效对冲长期实际汇率风险，并提出了两种能解释美国本土偏好且避免无风险利率谜题的新模型。
This paper revisits an old argument, hedging real exchange rate risk, as an explanation of the international home bias in equity. In a dynamic model, the relevant risk to be hedged is the long-run risk as opposed to the short-run risk. Domestic equity is indeed a good hedge with respect to long-run real-exchange-rate risk. Two new frameworks are able to explain a large share of the observed US home bias: a model with Hansen-Sargent preferences in which agents fear model misspecification and a model with Epstein-Zin preferences. These two models are also immune to the risk-free rate puzzle.