Behavioural portfolio theory revisited: lessons learned from the field

被引：8

作者：

Oehler, Andreas ^{[1
]}

Horn, Matthias ^{[2
]}

机构：

[1] Bamberg Univ, Finance, Bamberg, Germany

[2] Bamberg Univ, Dept Finance, Bamberg, Germany

来源：

ACCOUNTING AND FINANCE | 2021年 / 61卷

关键词：

Household finance; Relative risk aversion; Behavioural portfolio theory; Consumption and portfolio choice model; Risk-taking; RELATIVE RISK-AVERSION; WEALTH FLUCTUATIONS; GENDER-DIFFERENCES; MICRO-EVIDENCE; DETERMINANTS; INVESTMENT; HOUSEHOLDS; CHOICE; ATTITUDES; ASSETS;

D O I：

10.1111/acfi.12643

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the relation between households' wealth and relative risk aversion (RRA) in two different frameworks: the Behavioural Portfolio Theory (BPT) and Merton's consumption and portfolio choice model (CPCM). We apply the BPT to field data for the first time and show that the BPT provides a better fit than the CPCM to explain the financial risk-taking of the households in Deutsche Bundesbank's Panel on Household Finances survey. However, both models indicate decreasing RRA. While households' education and financial literacy hardly improve the fit of either model, households show different risk-taking behaviour in accordance with their self-assessed risk attitude.

引用

页码：1743 / 1774

页数：32

共 50 条

[1] Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory
Vander Weide, James H.
[J]. HANDBOOK OF PORTFOLIO CONSTRUCTION: CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUE, 2010, : 153 - 177
[2] Ceravital revisited: Lessons to be learned
Brewis, C
Orrell, J
Yung, MW
[J]. OTOLOGY & NEUROTOLOGY, 2003, 24 (01) : 20 - 23
[3] Representation revisited: Lessons learned from artificial life
Cowart, MR
[J]. PROCEEDINGS OF THE TWENTIETH ANNUAL CONFERENCE OF THE COGNITIVE SCIENCE SOCIETY, 1998, : 1212 - 1212
[4] Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory
De Brouwer, Philippe J. S.
[J]. JOURNAL OF ASSET MANAGEMENT, 2009, 9 (06) : 359 - 365
[5] Hard won lessons learned in the evaluation field: Implications for behavioural insights practice
McDavid, Jim
Henderson, Kathryn
[J]. CANADIAN PUBLIC ADMINISTRATION-ADMINISTRATION PUBLIQUE DU CANADA, 2021, 64 (01): : 7 - 25
[6] Multilateral sanctions revisited: lessons learned from Margaret Doxey
Faulkner, Rory
[J]. INTERNATIONAL AFFAIRS, 2024, 100 (01) : 421 - 423
[7] Multilateral Sanctions Revisited: Lessons Learned from Margaret Doxey
Viaud, Astrid
[J]. CANADIAN JOURNAL OF POLITICAL SCIENCE-REVUE CANADIENNE DE SCIENCE POLITIQUE, 2023, 56 (03): : 739 - 740
[8] A Comet Revisited Lessons Learned from Philae's Landing
Balazs, Andras
[J]. IEEE SOFTWARE, 2018, 35 (04) : 89 - 93
[9] Multilateral sanctions revisited : lessons learned from Margaret Doxey
Corda, Tiziana
[J]. INTERNATIONAL SPECTATOR, 2023, 58 (04): : 169 - 171
[10] Civano revisited (Lessons learned from the housing built at Civano)
Polyzoides, S
[J]. ARCHITECTURE, 2000, 89 (05): : 30 - 30

← 1 2 3 4 5 →