Titolo Households portfolio diversification Periodico Studi economici [1950] Anno: 2010 - Volume: 65 - Fascicolo: 100 - Pagina iniziale: 117 - Pagina finale: 143
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.