Equity home bias in Australian superannuation funds
Equity home bias for Australia superannuation funds is examined under a model that reflects observed decision processes. The mix of Australian and international equities is evaluated as a two-asset choice under the influence of legacy, an objective function that trades off expected returns against portfolio risk and peer risk, and under expectations that are formed adaptively and allow for taxation differences. The model closely replicates the observed equity mix, particularly relative to more...[Show more]
|Collections||ANU Research Publications|
|Source:||Australian Journal of Management|
|01_Warren_Equity_home_bias_in_Australian_2010.pdf||619.35 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.