Households' Portfolio Diversification
Journal title STUDI ECONOMICI
Author/s Tullio Jappelli, Christian Julliard, Marco Pagano
Publishing Year 2010 Issue 2010/100
Language English Pages 27 P. 117-143 File size 1020 KB
DOI 10.3280/STE2010-100007
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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.
Keywords: Portfolio diversification, efficient frontier
Jel codes: E2, D8
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Tullio Jappelli, Christian Julliard, Marco Pagano, Households' Portfolio Diversification in "STUDI ECONOMICI " 100/2010, pp 117-143, DOI: 10.3280/STE2010-100007