International portfolio choice under multi-factor stochastic volatility
构建了一个可识别的多因子随机波动模型，用于解决完全和不完全市场中的国际投资组合选择问题，推导出最优投资策略的闭式解，并发现忽略衍生品或短视投资的投资者会遭受显著福利损失。
In this article, we develop an identifiable multi-factor stochastic volatility model for international portfolio choice problems in complete and incomplete markets. Allowing for stochastic covariance between financial asset returns and foreign exchange rates, optimal investment strategies are derived in closed form and welfare losses arising from suboptimal investment strategies are analysed. Moreover, we provide a two-step procedure for estimating as well as calibrating the model parameters and use this ansatz to illustrate optimal investment decisions for the S&P 500, the German blue chip index DAX, and the USD/EUR foreign exchange rate. We find, both theoretically and empirically, that the model satisfies various well-known stylized facts of equity and foreign exchange rate markets and that investors who invest myopically or ignore derivative assets can incur substantial welfare losses implying strong evidence for significant welfare benefits from international diversification across different asset classes.