Mean–variance econometric analysis of household portfolios
家庭投资组合的均值—方差计量分析
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 such assets, we derive an explicit solution of the model characterized by four possible portfolio regimes, which are analyzed using two structural probit and tobit specifications with…