Households' portfolio diversification

Jappelli, Tullio, Julliard, Christian ORCID: 0000-0001-8177-7441 and Pagano, Marco (2007) Households' portfolio diversification. . Centre for Studies in Economics and Finance, University of Salerno, Fisciano, Italy.

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Abstract

This paper performs an efficiency analysis of households portfolios based on the comparison of observed portfolios with the mean-variance frontier of assets returns. Data on household portfolios are drawn from the 2001 Centro Einaudi survey, a representative sample of the Italian population with at least a bank account. We find that most households’ portfolios are extremely close to the efficient frontier once we explicitly take into account no short-selling constraints, while the null hypothesis of efficiency is rejected for all portfolios if we don’t consider these constraints.

Item Type:	Monograph (Working Paper)
Official URL:	http://www.csef.it
Additional Information:	© 2007 the authors
Divisions:	Financial Markets Group Economics
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	09 May 2008 15:19
Last Modified:	11 Dec 2024 18:50
URI:	http://eprints.lse.ac.uk/id/eprint/4805

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