HOUSEHOLD PORTFOLIOS AND IMPLICIT RISK PREFERENCE

• 成果类型: Article
• 署名作者: Bucciol, Alessandro; Miniaci, Raffaele
• 署名单位: University of Verona; University of Amsterdam; University of Brescia
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00138
• 发表日期: 2011-11
• 页码: 1235-1250
• 关键词: investment performance; life-cycle; aversion; CHOICE; consumption; WEALTH; Heterogeneity; attitudes; efficient; investors

摘要

We derive the distribution of a proxy for the risk tolerance in a representative sample of U. S. households. Our measure is deduced from the willingness to bear risk as indicated by the variance of returns of each household's observed portfolio. The estimates, obtained assuming constraints on portfolio composition, show substantial heterogeneity across households. We find that risk tolerance falls with age and increases with wealth. Other variables, such as education, gender, race, and household size, do not have a significant relation to risk attitude. Our findings are robust to changes in portfolio definition, asset returns, and sample composition.