The Significance of the Market Portfolio

Robert J. Shiller () and Stefano Athanasoulis ()
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Stefano Athanasoulis: University of Notre Dame, Department of Finance

Yale School of Management Working Papers from Yale School of Management

Abstract: Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the "market portfolio," are considered. This world share market would represent a radical innovation, since at the present time only a small fraction of world endowments are traded. Using a stochastic endowment economy where preferences are mean-variance, it is shown that creating such a market may be justified in terms of its contribution to social welfare. It is also argued that creating a market for world shares is attractive for certain reasons of robustness and simplicity.

JEL-codes: G12 G10 (search for similar items in EconPapers)
Date: 2001-03-21

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Related works:
Working Paper: The Significance of the Market Portfolio (1997)
Working Paper: The Significance of the Market Portfolio (1997)
Journal Article: The Significance of the Market Portfolio (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:ysm:somwrk:ysm133

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