Notations: ${Y}_{i}$ -Financial markets incomes in country i. ${W}_{i}$ -Total financial wealth in country i. ${y}_{i}={Y}_{i}/{W}_{i}$ . ${y}_{ij}$ -Rate of return for investors from country i in country j. ${S}_{i}$ -Total investment in equity in country i, ${s}_{i}={S}_{i}/{W}_{i}$ . ${s}_{i}={S}_{i}/{W}_{i}$ . ${B}_{i}$ -Total investment in debt instruments in country i. ${d}_{i}$ -Dividend rate in country i. ${r}_{i}$ -Rate of interest in country i. ${g}_{i}$ -Expected capital gain on equity in country. ${\tau}_{di}$ -Expected dividend tax rate of the marginal market participant in country i. ${\tau}_{gi}$ -Expected capital gain tax rate of the marginal market participant in country i. ${\tau}_{ri}$ -Expected interest income tax rate of the marginal market participant in country i. ${\tau}^{*}-\mathrm{max}\left\{{\tau}_{i},{\tau}_{j}\right\}$ ${F}_{ij}$ -Foreign curent exchnage rate for country i in terms of cuurency j. $\left(1-\alpha \right)$ -Portion of domestic financial wealth invested abroad. ${\sigma}_{i}$ -Standard deviation of rates of return in country i. ${\sigma}_{ij}$ -Standard deviation of rates of return for investors from country i in country j. ${\sigma}_{ij}^{*}$ -Overall standard deviation for investors from country i. ${\rho}_{ij}$ -Correlation coefficient between i and j. |