文档介绍：The Significance of the Market Portfolio
Stefano G. Athanasoulis
Robert J. Shiller
Yale University
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. It is also argued that creating a market for world shares is
attractive for certain reasons of robustness and simplicity.
The portfolio of all endowments in the world, the “world portfolio” or, more
commonly, the “market portfolio,” has great significance in the capital asset
pricing model (CAPM) in The Sharpe–Lintner CAPM characteriza-
tion of optimal risk sharing implies that in equilibrium no one will be subject
to a random shock that is not shared by everyone else. Thus the CAPM gives
us the “mutual fund theorem,” which asserts that only one risky portfolio need
be available to individual investors, the mutual fund that holds shares in the
world portfolio. In this article we seek further clarification of the significance
of the world portfolio beyond the bounds of the restrictive assumptions of
the CAPM.
The original version of the CAPM was designed to describe how agents
should invest in existing financial Thus all agents have some stock
of wealth and they must choose how much of their wealth to invest in each
asset. There is some zero-cost intermediary that allows the agents to purchase
the assets. One of the key insights of the CAPM is that each agent needs
only the shares in the world portfolio and the risk-free bond to be available
to them to trade in so that they obtain their optimal allocation of risk. It is
in this sense that the world