| Author: | Athanasoulis, S. Shiller, R. |
| Title: | The significance of the market portfolio |
| Journal: | Review of Financial Studies
2000 : SUMMER, VOL. 13:2, p. 301-330 |
| Index terms: | PORTFOLIO MANAGEMENT INNOVATION SOCIAL WELFARE |
| Language: | eng |
| Abstract: | In the present paper 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. |
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