Households' Portfolio Diversification
AbstractThis 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 InfoArticle provided by FrancoAngeli Editore in its journal STUDI ECONOMICI.
Volume (Year): LXV (2010)
Issue (Month): 100 ()
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Web page: http://www.francoangeli.it/riviste/sommario.asp?IDRivista=59
Other versions of this item:
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
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