Asset Integration and Attitudes toward Risk: Theory and Evidence

• 成果类型: Article
• 署名作者: Andersen, Steffen; Cox, James C.; Harrison, Glenn W.; Lau, Morten I.; Rutstroem, E. Elisabet; Sadiraj, Vjollca
• 署名单位: Copenhagen Business School; University System of Georgia; Georgia State University; University of Cape Town; Durham University; Orebro University; Stockholm School of Economics
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00719
• 发表日期: 2018-12
• 页码: 816-830
• 关键词: expected-utility theory; optimal consumption; dependent utility; portfolio choice; small-stakes; aversion; calibration; INDEPENDENCE; insurance; DECISION

摘要

We provide evidence that choices over small-stakes bets are consistent with assumptions of some payoff calibration paradoxes. We then exploit the existence of detailed information on individual wealth of our experimental subjects in Denmark and directly estimate risk attitudes and the degree of asset integration. We discover that behavior is consistent with partial, rather than full, asset integration. The implied risk attitudes from estimating these specifications indicate risk premiums and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.