Are UniCredit Clients’ Portfolios Efficient?
Palumbo Giuliano, PGAM Economic Research
Medori Simone, PIM Financial Engineering Department
The paper uses a dataset of 1098 clients from to the 2003 UniCredit survey and for whom we know the “true” financial portfolios, as provided by the bank internal database. The aim is to discriminate efficiency across individual portfolios on the basis of the Markowitz model. We also study portfolio efficiency in relation to the investors’ socioeconomic characteristics, as provided by the UCI survey. We find that many individuals do hold efficient portfolios, and that portfolio efficiency is more likely for those clients with high financial wealth, who seek professional advice from the bank, compared to do-it-your-self clients, and to clients who are highly risk averse. Future analyses should address broader efficiency measures, such as dynamic efficiency based on money-weighted returns, or the correspondence of individual portfolios and the needs for liability management over different time-horizons.
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