On the Effects of Barriers to International Investment
构建了一个国内投资者持有外国资产存在成本的简单模型，推导了国内外最优投资组合的构成，并分析了外国资产的贝塔值与持有决策的关系。
ABSTRACT A simple model is presented in which it is costly for domestic investors to hold foreign assets. The implications of the model for the composition of optimal portfolios at home and abroad are derived. It is shown that all foreign assets with a beta larger than some beta plot on either one of two security market lines. Some foreign assets with a beta smaller than are not held by domestic investors even if their expected return is increased slightly.