## Abstract We investigate households' portfolio choice using a microeconometric approach derived from mean–variance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they cannot take short positions in risky assets. Assuming two
A Mean–variance analysis of arbitrage portfolios
✍ Scribed by Shuhong Fang
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 353 KB
- Volume
- 375
- Category
- Article
- ISSN
- 0378-4371
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