Household Portfolios Efficiency in the Presence of Restrictions on Investment Opportunities
AbstractThis paper proposes a new test for verifying the mean-variance efficiency of household portfolios. Unlike the standard statistics, the test takes account of two additional aspects: 1) wealth consists of real estate, held in fixed proportions in the short term, as well as financial assets, and 2) it is not possible to assume short positions in several financial assets. Performing the test on Italian households’ portfolios as they appear in the SHIW 2000 survey, and treating housing as a fixed asset, we obtain an efficiency much more widespread than with common tests, revealing how inaccurate the standard theory is.
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Bibliographic InfoArticle provided by SIPI Spa in its journal Rivista di Politica Economica.
Volume (Year): 93 (2003)
Issue (Month): 6 (November-December)
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Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Alessandro Bucciol & Raffaele Miniaci, 2006.
"Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions,"
ubs0605, University of Brescia, Department of Economics.
- Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
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