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Households' portfolio diversification

Jappelli, Tullio and Julliard, Christian and Pagano, Marco (2007) Households' portfolio diversification. 180. Centre for Studies in Economics and Finance, University of Salerno, Fisciano, Italy.

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Identification Number: 180

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
Subjects: 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
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/4805

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