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

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