Households' Portfolio Diversification

Tullio Jappelli (), Christian Julliard and Marco Pagano

STUDI ECONOMICI, 2010, vol. LXV, issue 100, 117-143

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 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.

JEL-codes: D8 E2 (search for similar items in EconPapers)
Date: 2010
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Working Paper: Households’ Portfolio Diversification (2007)
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