This paper proposes a new test for verifying the mean-variance efficiency of household portfolios. Unlike the standard statistics, the test takes account of two additional aspects: 1) wealth consists of real estate, held in fixed proportions in the short term, as well as financial assets, and 2) it is not possible to assume short positions in several financial assets. Performing the test on Italian households' portfolios as they appear in the SHIW 2000 survey, and treating housing as a fixed asset, we obtain an efficiency much more widespread than with common tests, revealing how inaccurate the standard theory is.
Household Portfolios Efficiency in the Presence of Restrictions on Investment Opportunities
BUCCIOL, Alessandro
2003-01-01
Abstract
This paper proposes a new test for verifying the mean-variance efficiency of household portfolios. Unlike the standard statistics, the test takes account of two additional aspects: 1) wealth consists of real estate, held in fixed proportions in the short term, as well as financial assets, and 2) it is not possible to assume short positions in several financial assets. Performing the test on Italian households' portfolios as they appear in the SHIW 2000 survey, and treating housing as a fixed asset, we obtain an efficiency much more widespread than with common tests, revealing how inaccurate the standard theory is.
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