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.
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 do not consider these constraints.
| Item Type: | Book Section |
|---|---|
| Official URL: | http://www.centroeinaudi.it |
| Additional Information: | © 2001 Tullio Jappelli, Christian Julliard, Marco Pagano |
| 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 |
| URL: | http://eprints.lse.ac.uk/4812/ |
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