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The econometrics of efficient portfolios

โœ Scribed by C. Gourieroux; A. Monfort

Book ID
116641521
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
432 KB
Volume
12
Category
Article
ISSN
0927-5398

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๐Ÿ“œ SIMILAR VOLUMES

Meanโ€“variance econometric analysis of ho
Meanโ€“variance econometric analysis of household portfolios
โœ Raffaele Miniaci; Sergio Pastorello ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 231 KB

## Abstract We investigate households' portfolio choice using a microeconometric approach derived from meanโ€“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