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An empirical analysis of aggregate household portfolios

✍ Scribed by Michel Normandin; Pascal St-Amour


Book ID
116615128
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
343 KB
Volume
32
Category
Article
ISSN
0378-4266

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Mean–variance econometric analysis of ho
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## 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