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Households' portfolio diversification

By Tullio Jappelli, Christian Julliard and Marco Pagano

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

Topics: HB Economic Theory
Publisher: Centre for Studies in Economics and Finance, University of Salerno
Year: 2007
OAI identifier: oai:eprints.lse.ac.uk:4805
Provided by: LSE Research Online
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