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Households' Portfolio Diversification

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  • Tullio Jappelli
  • Christian Julliard
  • 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 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.

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Bibliographic Info

Article provided by FrancoAngeli Editore in its journal STUDI ECONOMICI.

Volume (Year): LXV (2010)
Issue (Month): 100 ()
Pages: 117-143

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Handle: RePEc:fan:steste:v:html10.3280/ste2010-100007

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