Are Household Portfolios Efficient? an Analysis Conditional on Housing
利用意大利家庭数据，在考虑住房这一非流动性资产后，检验家庭金融资产组合是否有效，发现住房财富对判断组合效率至关重要。
Abstract Standard tests of portfolio efficiency neglect the existence of illiquid wealth. The most important illiquid asset in household portfolios is housing: if housing stock adjustments are infrequent, optimal portfolios in periods of no adjustment are affected by housing price risk through a hedge term and tests for portfolio efficiency of financial assets must be run conditionally upon housing wealth. We use Italian household portfolio data and time series on financial assets and housing stock returns to assess whether actual portfolios are efficient. We find that housing wealth plays a key role in determining whether portfolios chosen by homeowners are efficient.