Are Household Portfolios Efficient?: An Analysis Conditional on Housing |
Common terms and phrases
actual portfolio asset and housing bonds Corporate Brownian motion CEPR classified as efficient conditional on housing covariance covariance matrix debt Discussion Papers efficiency test Efficient portfolios conditional expected excess returns financial asset returns financial portfolios financial wealth Flavin frontiers with housing fully diversified portfolios Gourieroux and Jouneau hedge motive hedge term holding period returns household portfolios housing investment housing price risk housing returns housing stock housing wealth illiquid inefficient Koedijk Managed Savings market portfolio mean variance frontier mean-variance efficient mortgage MTG bonds MTG-bonds Corporate negative holdings North East North West observed portfolio optimal portfolio p-value portfolio efficiency Portfolio share portfolios are efficient ra and house region return data return on housing risk aversion risk free risk-free asset risk-less asset risky assets Risky fin risky financial assets sample Sharpe ratio SHIW significance level Standard Deviation term government bonds test results test statistic total wealth trade liberalization