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.
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Paper provided by Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy in its series CSEF Working Papers with number
180.
Length: Date of creation: 01 Jun 2007 Date of revision: Publication status: Published in Il risparmiatore cerca fiducia: XIX Rapporto sul rispamio e i risparmiatori in Italia. Milano: Guerini e Associati, 2001. English version (with extnensions) available as Household portfolio diversification Handle: RePEc:sef:csefwp:180