Journal article
International exchange risk and asset substitutability
Abstract
This paper estimates subsitutability/complementarity relations among financial assets denominated in foreign currencies. Utilizing a representative investor and a flexible functional form methodology, a mean-variance utility function was estimated and used to determine expected return and variance elasticities between assets in the world portfolio. The hypothesis that international assets are perfect substitutes was rejected. It was also found …
Authors
Aivazian VA; Callen JL; Krinsky I; Kwan CCY
Journal
Journal of International Money and Finance, Vol. 5, No. 4, pp. 449–466
Publisher
Elsevier
Publication Date
12 1986
DOI
10.1016/0261-5606(86)90004-5
ISSN
0261-5606