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Households' Portfolio Diversification

Author

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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.

Suggested Citation

  • Tullio Jappelli & Christian Julliard & Marco Pagano, 2010. "Households' Portfolio Diversification," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(100), pages 117-143.
    • Handle: RePEc:fan:steste:v:html10.3280/ste2010-100007
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    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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