Households’ Portfolio Diversification

Tullio Jappelli (), Christian Julliard and Marco Pagano

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

Date: 2007-06-01
New Economics Papers: this item is included in nep-ban
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Published in Studi Economici, n. 100, 2010, 117-144. English version (with extnensions) available as Household portfolio diversification

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

Related works:
Journal Article: Households' Portfolio Diversification (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:sef:csefwp:180

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