Autori: Jappelli, Tullio, Julliard, Christian, Pagano, Marco
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.




SICI: 0039-2928(2010)65:100<117:HPD>2.0.ZU;2-
Testo completo: http://www.francoangeli.it/riviste/Scheda_Rivista.aspx?IDArticolo=40388&Tipo=Articolo PDF

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