What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions

• 成果类型: Article
• 署名作者: Choukhmane, Taha; De Silva, Tim
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70013
• 发表日期: 2026-02
• 页码: 5-48
• 关键词: STOCK-MARKET PARTICIPATION; life-cycle; UTILITY THEORY; consumption; aversion; substitution; Inattention; COSTS

摘要

We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of retirement wealth declining with age-patterns markedly different from observed allocations. We use this quasi-experiment to estimate a life-cycle model and find a relative risk aversion of 2.5, elasticity of intertemporal substitution (EIS) of 0.25, and $160 portfolio adjustment cost. The results suggest that low levels of stock market participation in retirement accounts are due to participation frictions rather than nonstandard preferences such as loss aversion.