The Significance of the Market Portfolio
AbstractArguments 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.
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm133.
Date of creation: 21 Mar 2001
Date of revision:
Other versions of this item:
- Stefano G. Athanasoulis & Robert J. Shiller, 1997. "The Significance of the Market Portfolio," Cowles Foundation Discussion Papers 1154, Cowles Foundation for Research in Economics, Yale University.
- Stefano Athanasoulis & Robert J. Shiller, 1997. "The Significance of the Market Portfolio," NBER Technical Working Papers 0209, National Bureau of Economic Research, Inc.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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