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Assuming two such assets, we derive an explicit solution of the model characterized by four possible portfolio regimes, which are analyzed using two structural probit and tobit specifications with three latent state variables. Both specifications are estimated by weighted maximum likelihood on a cross\u2010section of US households drawn from the 2004 SCF. The tobit specification is simulated in order to evaluate the regressors' effects on regime probabilities and asset demands. We also assess to what extent the predicted state variables are consistent with the self\u2010reported expected returns and risk aversion elicited from the SCF questionnaire. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1107","type":"journal-article","created":{"date-parts":[[2009,12,21]],"date-time":"2009-12-21T10:58:50Z","timestamp":1261393130000},"page":"481-504","source":"Crossref","is-referenced-by-count":7,"title":["Mean\u2013variance econometric analysis of household portfolios"],"prefix":"10.1002","volume":"25","author":[{"given":"Raffaele","family":"Miniaci","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sergio","family":"Pastorello","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2010,3,4]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Banca d'Italia.2006.I bilanci delle famiglie italiane nell'anno 2004.Supplementi al Bollettino Statistico Rome."},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","first-page":"181","DOI":"10.7551\/mitpress\/3568.003.0010","volume-title":"Household Porfolios","author":"Bertaut C","year":"2002"},{"key":"e_1_2_9_4_1","article-title":"Recent changes in U.S. family finances: evidence from the 2001 and 2004 Survey of Consumer Finances","author":"Bucks B","year":"2006","journal-title":"Federal Reserve Bulletin"},{"key":"e_1_2_9_5_1","doi-asserted-by":"crossref","unstructured":"CalvetLE CampbellJY SodiniP.2006.Down or out: assessing the welfare costs of household investment mistakes. 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