Jappelli, Tullio, Julliard, Christian and Pagano, Marco (2001) La diversificazione del portafoglio delle famiglie italiane. In: Beltratti, A., (ed.) XIX Rapporto sul Risparmio e sui Risparmiatori in Italia. BNL / Centro Einaudi, Italy, pp. 91-121.
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 do not consider these constraints.
|Item Type:||Book Section|
|Additional Information:||© 2001 Tullio Jappelli, Christian Julliard, Marco Pagano|
|Uncontrolled Keywords:||Households' Portfolios, Efficient Frontier, Diversification, Borrowing Constraints|
|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
|Date Deposited:||12 May 2008 09:39|
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