The Significance of the Market Portfolio
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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
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Volume (Year): 13 (2000)
Issue (Month): 2 ()
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