Households' Portfolio Diversification | Zendy

Tullio Jappelli | Zendy; Christian Julliard | Zendy; Marco Pagano | Zendy

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Households' Portfolio Diversification

Author(s) -

Tullio Jappelli,

Christian Julliard,

Marco Pagano

Publication year - 2010

Publication title -

studi economici

Language(s) - English

Resource type - Journals

eISSN - 1972-4918

pISSN - 0039-2928

DOI - 10.3280/ste2010-100007

Subject(s) - diversification (marketing strategy) , efficient frontier , portfolio , frontier , econometrics , sample (material) , economics , null hypothesis , variance (accounting)

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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