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1、R.Jarrowetal.,Eds,HandbooksinOR&MS,VoL9©t995ElsevierScienceB.V.AllrightsreservedChapter6InternationalPortfolioChoiceandAssetPricing:AnIntegrativeSurveyRenOM.StulzKurtzChairinFinance,TheOhioStateUniversity,1775CollegeRoad,Columbus,OH43210,U.S.A.1.Introductioningeneral,theories
2、ofportfoliochoiceandassetpricingletinvestorsdifferatmostwithrespecttotheirpreferences,theirwealthand,possibly,theirinformationsets.Iftherearemultiplecountries,however,theinvestmentandconsumptionopportunitysetsofinvestorsdependontheircountryofresidence.Internationalportfolioch
3、oiceandassetpricingtheoriesattempttounderstandhowtheexis-tenceofcountry-specificinvestmentandconsumptionopportunitysetsaffecttheportfoliosheldbyinvestorsandtheexpectedreturnsofassets.Inthispaper,wereviewthesetheorieswithinacommonframework,discusshowtheyfareinempiricaltests,an
4、dassesstheirrelevanceforthefieldofinternationalfinance.Atapointintime,aninvestor'sconsumptionopportunitysetiscomposedofthegoodsthattheinvestorcanconsumeandtheirrelativeprices.Consumptionopportunitysetsdifferacrosscountrieswhentherelativepricesofgoodsdependonwheregoodsarelocat
5、ed.Aninvestor'sinvestmentopportunitysetisdescribedbythedistributionsofwealthavailabletothatinvestorforeachfuturedate.Iftwoinvestorswhodifferintheircountryofresidencecanobtainthesamedistributionsofwealthforallfuturedatesintermsofthesamearbitrarynumeraire,theyhavethesameinvestm
6、entopportunitysets.Investmentopportunitysetsdifferacrosscountrieswheninvestmentbarriersintroduceawedgebetweenreturnsonassetsforresidentsandfornonresidents.Inthispaper,wefirstshowthatifinvestmentandconsumptionopportunitysetsdonotdifferacrosscountries,thefactthatcountriesusedif
7、ferentcurrencieshasnosignificantimplicationsforportfoliochoiceandassetpricing.Inthisspecialcase,thetraditionalapproachestoportfoliochoiceandassetpricingapply.Whereasthesemodelsperformpoorlyinpredictingassetholdingsacrosscountries,theyhavesomesuccessinexplainingthecross-sectio
8、nalvariationinconditionalexpectedreturnsacrosscountries.Wethenshowho
