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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...
Persistent link: https://www.econbiz.de/10005748788
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the world. The risk-sharing opportunities we study are nonsystematic risk-sharing opportunities. These...
Persistent link: https://www.econbiz.de/10008852986
Persistent link: https://www.econbiz.de/10005985357
We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important missing international risk markets to establish. One method uses a total variance reduction...
Persistent link: https://www.econbiz.de/10005580514
The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...
Persistent link: https://www.econbiz.de/10005725275
Persistent link: https://www.econbiz.de/10007007591
Arguments for creating a market to allow trading the portfolio of all endowments in the entire world, the quot;market portfolio,quot; 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....
Persistent link: https://www.econbiz.de/10012788165
We construct a new method of decomposing the variance of national incomes into components in such a way as to indicate the most important 'residual' risk-sharing opportunities among peoples of the world. The risk-sharing opportunities we study are nonsystematic risk-sharing opportunities. These...
Persistent link: https://www.econbiz.de/10012742279
Uncertainty about national income growth poses significant macroeconomic risk to households all over the world. To help reduce investors' exposure, researchers have proposed a controversial new set of security markets called macro markets. These international markets would trade long-term claims...
Persistent link: https://www.econbiz.de/10012776394
How large are potential benefits from global risksharing? In order to answer this question we propose a new methodology that is closely connected with the empirical growth literature. We obtain estimates of residual risk (growth uncertainty) at various horizons from regressions of...
Persistent link: https://www.econbiz.de/10005087856