Structural Mean-Variance Microeconometric Analysis of Household Portfolios
نویسنده
چکیده
This paper investigates households’ portfolio choice behavior using a structural microeconometric approach obtained by extending the analysis in Fougère, Gouriéroux, Tiomo and Trognon (1997). I assume that households have mean variance expected utility and are forbidden to take short positions in the risky assets. If there are only two such assets, it is possible to derive a closed form solution of the model, which directly translates into a structural probit and a structural tobit specifications characterized by a two dimensional vector of observables and a three dimensional vector of latent variables, although one of the latter may be interpreted as a heterogeneity component. The parameters of both specifications are estimated by maximum likelihood on a cross section of Italian households, and the tobit specification is simulated in order to evaluate the partial effects of the regressors on the probabilities of the portfolio regimes and on the expected asset demands. I also extensively test the correctness of the building blocks of the structural specifications using the conditional moments / generalized residuals approach.
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