Jappelli, Tullio, Julliard, Christian and Pagano, Marco (2007) Households' portfolio diversification. 180. Centre for Studies in Economics and Finance, University of Salerno, Fisciano, Italy.
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)|
|Additional Information:||© 2007 the authors|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Collections > LSE Financial Markets Group (FMG) Working Papers
|Date Deposited:||09 May 2008 15:19|
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