Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
982271 | The Quarterly Review of Economics and Finance | 2010 | 9 Pages |
Abstract
It is well known that the wealthier the household, the larger tends to be the proportion of its total capital portfolio allocated to publicly traded stock, and the larger tends to be the number of individual stock issues included in its portfolio. Using the “homogeneous securities” case of a mean-variance model originally proposed by Michael Brennan, explicit functional forms are obtained for both the optimal proportion of the portfolio allocated to stocks and the optimal number of individual stock issues in the portfolio. An empirical evaluation of these theoretical results, using a dataset derived from the 2004 Survey of Consumer Finances, lends substantial support to the model.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
James A. Yunker, Alla A. Melkumian,