A General Equilibrium Model of International Portfolio Choice
在两国家一般均衡模型中研究消费对国内商品的偏好是否必然导致对国内证券的偏好，发现风险厌恶程度不同的投资者会有不同的资产偏好，因此消费结构无法完全解释实际观察到的投资组合。
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.