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Econometrics of efficient fitted portfolios

✍ Scribed by C. Gouriéroux; F. Jouneau

Book ID
117628317
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
264 KB
Volume
6
Category
Article
ISSN
0927-5398

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Mean–variance econometric analysis of ho
Mean–variance econometric analysis of household portfolios
✍ Raffaele Miniaci; Sergio Pastorello 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 231 KB

## 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