Raffaele Miniaci and Sergio Pastorello, "Mean-Variance Econometric 
Analysis of Household Portfolios", Journal of Applied Econometrics, 
Vol. 25, No. 3, 2010, pp. 481-504.

All program and data files are ASCII files in DOS format. They are 
zipped in the file mp-files.zip. Unix/Linux users should use "unzip -a".

The data used in this paper are from the Survey of Consumer Finances 
2004. The raw data can be downloaded in Stata format from the Federal 
Reserve Board website:

http://www.federalreserve.gov/PUBS/oss/oss2/2004/scf2004data.html#STATADAT

Raw data were aggregated and transformed as described in the paper using 
the Stata do-files contained in StataCode.zip:

  JAE_start.do      collapse_JAE.do   labelfin_JAE.do
  cleandata_JAE.do  labeldata_JAE.do  portfin_JAE.do

The main do-file is JAE_start.do, which sets up and runs the remaining 5 
files. These commands generate an ASCII file containing the data 
actually used in the paper. This clean data file is also enclosed as 
mp-data.txt, which contains 4214 observations following a line with 
variable names.

The file mp-data.txt contains the following variables:

Variable    Definition

d           Portfolio regime:   1 = No bonds, no equities
                                2 = Bonds, no equities
                                3 = No bonds, equities
                                4 = Bonds, equities
a1          Share of wealth invested in bonds
a2          Share of wealth invested in equities
const       Constant
age         Age (years)/100
age2        age^2
dumncomp    Dummy for the household composition: 0 = number of components <= 3
                                                 1 = number of components >  3
dummarried  Dummy for the household head marital status: 0 = not living in couple
                                                         1 = living in couple
dumgrad     Dummy for the household head education: 0 = at most high school
                                                    1 = university degree
dumself     Dummy for the household head job status: 0 = not self-employed
                                                     1 = self-employed
dumret      Dummy for the household head retirement status: 0 = not retired
                                                            1 = retired
dumwhite    Dummy for the household head ethnic group: 0 = not white
                                                       1 = white
dumsex      Dummy for the household head gender: 0 = male
                                                 1 = female
dumadv      Dummy for the financial advisor: 0 = no financial advisor
                                             1 = financial advisor
w           Wealth (in 1,000 US$)
w2          w^2
y           Income (in 1,000 US$)
y2          y^2
weight      Sampling weight