Marianne Nessén: Dept. of Finance, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Abstract: A multi-country model of intertemporal portfolio choice and the foreign exchange risk premium which incorporates both nominal price and relative price risk is developed. Portfolio demands are derived and interpreted in terms of diversification and hedge portfolios. The equilibrium foreign exchange risk premium is then analyzed and discussed in terms of e.g. relative and nominal price uncertainty. Special attention is paid to the effects of deviations from purchasing power parity.
43 pages, December 1994
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-03-27 10:24:37.