Household portfolio allocation, uncertainty, and risk

被引：9

作者：

Brown, Sarah ^{[1
]}

Gray, Daniel ^{[1
]}

Harris, Mark N. ^{[2
]}

Spencer, Christopher ^{[3
]}

机构：

[1] Univ Sheffield, Dept Econ, 9 Mappin St, Sheffield S1 4DT, S Yorkshire, England

[2] Curtin Univ, Fac Business & Law, Sch Accounting Econ & Finance, Perth, WA 6845, Australia

[3] Loughborough Univ, Sch Business & Econ, Ashby Rd, Loughborough LE11 3TU, Leics, England

来源：

JOURNAL OF EMPIRICAL FINANCE | 2021年 / 63卷

基金：

澳大利亚研究理事会;

关键词：

Applied econometrics; Asset allocation; Background risk; Fractional models; CHOICE; BEHAVIOR; WEALTH;

D O I：

10.1016/j.jempfin.2021.05.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach - termed a deflated ordered fractional model - quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a 'flight from risk' from riskier to safer assets.

引用

页码：96 / 117

页数：22

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