000002200 001__ 2200
000002200 005__ 20190611210131.0
000002200 037__ $$aCONFERENCE
000002200 245__ $$aPortfolio choice under uncertainty
000002200 260__ $$c2017$$b12-13 June 2017$$aValencia, Spain
000002200 269__ $$a2017-06
000002200 300__ $$a57 p.
000002200 506__ $$avisible
000002200 520__ $$9eng$$aDuring the financial crisis that first hit the U.S. economy and soon became a world crisis, investors reduced their holdings of foreign equities, and, at the same time, they increased their holdings of short-term government bonds. The paper analyzes, within the context of a DSGE model, the hedging properties of foreign bond and foreign equity holdings during a crisis, when the degree of uncertainty is high. I show that uncertainty generates portfolio dynamics and that they differ depending on the source of uncertainty. Investors increase their holdings of foreign government bonds and, at the same time, reduce their holdings of foreign corporate equities, when uncertainty originates from aggregate demand. When instead uncertainty originates from aggregate supply, it is optimal for investors to reduce their holdings of foreign bonds and increase their holdings of foreign equity. These findings are supported by the recently developed theories that consider the collapse of aggregate demand the main cause of the “Great Slump” that started in 2007.
000002200 592__ $$aEHL
000002200 592__ $$cEconomie et Services
000002200 65017 $$aEconomie/gestion
000002200 655_7 $$afull paper
000002200 700__ $$aBlengini, Isabella$$uEcole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland
000002200 711__ $$a15th INFINITI Conference on International Finance$$cValencia, Spain$$d12/06/2017 / 13/06/2017
000002200 773__ $$tProceedings of the 15th INFINITI Conference on International Finance
000002200 8564_ $$uhttps://hesso.tind.io/record/2200/files/Blengini_2017_portfolio_choice.pdf$$s1128555
000002200 8564_ $$xpdfa$$uhttps://hesso.tind.io/record/2200/files/Blengini_2017_portfolio_choice.pdf?subformat=pdfa$$s2346280
000002200 906__ $$aGREEN
000002200 950__ $$aI1
000002200 980__ $$aconference