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La diversificazione del portafoglio delle famiglie italiane

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 do not consider these constraints

Topics: HB Economic Theory
Publisher: BNL / Centro Einaudi
Year: 2001
OAI identifier: oai:eprints.lse.ac.uk:4812
Provided by: LSE Research Online
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