Households' Portfolio Diversification
Journal title STUDI ECONOMICI
Author/s Tullio Jappelli, Christian Julliard, Marco Pagano
Publishing Year 2010 Issue 2010/100 Language English
Pages 27 P. 117-143 File size 1020 KB
DOI 10.3280/STE2010-100007
DOI is like a bar code for intellectual property: to have more infomation
click here
Below, you can see the article first page
If you want to buy this article in PDF format, you can do it, following the instructions to buy download credits
FrancoAngeli is member of Publishers International Linking Association, Inc (PILA), a not-for-profit association which run the CrossRef service enabling links to and from online scholarly content.
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.
Keywords: Portfolio diversification, efficient frontier
Jel codes: E2, D8
- Portfolio allocation and borrowing constraints Raslan Alzuabi, Sarah Brown, Daniel Gray, Mark N. Harris, Christopher Spencer, in The European Journal of Finance /2024 pp.915
DOI: 10.1080/1351847X.2023.2241528
Tullio Jappelli, Christian Julliard, Marco Pagano, Households' Portfolio Diversification in "STUDI ECONOMICI " 100/2010, pp 117-143, DOI: 10.3280/STE2010-100007