SPECIFICATION AND ECONOMETRIC IMPROVEMENTS IN REGIONAL PORTFOLIO DIVERSIFICATION ANALYSIS
提出一种新的区域投资组合分散化问题设定，明确纳入区域经济结构信息并避免传统设定中关于选择集的不一致，同时采用改进的计量方法估计参数，并以1987年科罗拉多州数据为例展示两种方法在部门配置上的差异。
ABSTRACT. We develop an alternative specification of the regional portfolio diversification problem that explicitly incorporates important information on regional economic structure and avoids certain inconsistencies in the traditional specification with respect to what constitutes the choice set. We also implement improved econometric procedures for estimating the required parameters and provide an empirical example using 1987 data for the Colorado economy to illustrate the potential differences in sectoral allocations obtained when applying our alternative approach versus the traditional one.