The Significance of the Market Portfolio
Review of Financial Studies
2000
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 preference 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.
- DOI
- 10.1093/rfs/13.2.301
- Volume
- 13 (2)
- Pages
- 301-329
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref