Mean-variance econometric analysis of household portfolios

Raffaele Miniaci and Sergio Pastorello
Additional contact information
Sergio Pastorello: Dipartimento di Scienze Economiche, Universita di Bologna, Bologna, Italy, Postal: Dipartimento di Scienze Economiche, Universita di Bologna, Bologna, Italy

Journal of Applied Econometrics, 2010, vol. 25, issue 3, 481-504

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 three latent state variables. Both specifications are estimated by weighted maximum likelihood on a cross-section of US households drawn from the 2004 SCF. The tobit specification is simulated in order to evaluate the regressors' effects on regime probabilities and asset demands. We also assess to what extent the predicted state variables are consistent with the self-reported expected returns and risk aversion elicited from the SCF questionnaire. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.1107 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2010-v25.3/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:25:y:2010:i:3:p:481-504

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.1107

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().