Households’ Portfolio Diversification

Tullio Jappelli (), Christian Julliard and Marco Pagano ()

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy

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.

New Economics Papers: this item is included in nep-ban
Date: Written 2007-06-01

Published in Il risparmiatore cerca fiducia: XIX Rapporto sul rispamio e i risparmiatori in Italia. Milano: Guerini e Associati, 2001. English version (with extnensions) available as Household portfolio diversification

Downloads: (external link)
http://www.csef.it/WP/wp180.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Persistent link: http://EconPapers.repec.org/RePEc:sef:csefwp:180

Access Statistics for this paper

More papers in CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy
Contact information at EDIRC.
Series data maintained by Lia Ambrosio ().