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Househould portfolios and implicit risk preferences

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  • Alessandro Bucciol
  • Raffaele Miniaci

Abstract

We derive the distribution of a proxy for the risk tolerance in a representative sample of US 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 risk tolerance to reduce with age and increase with wealth. Other variables such as education, gender, race and household size do not have instead a significant relation with risk attitude. Our findings are robust to changes in portfolio definition, asset returns and sample composition.

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Bibliographic Info

Paper provided by University of Brescia, Department of Economics in its series Working Papers with number 1006.

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Date of creation: 2010
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Handle: RePEc:ubs:wpaper:1006

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Citations

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Cited by:
  1. Alessandro Bucciol & Raffaele Miniaci, 2012. "Financial Risk Aversion, Economic Crises and Past Risk Perception," Working Papers 28/2012, University of Verona, Department of Economics.
  2. Alessandro Bucciol & Luca Zarri, 2013. "Financial Risk Aversion and Personal Life History," Working Papers 05/2013, University of Verona, Department of Economics.
  3. Alessandro Bucciol & Raffaele Miniaci, 2011. "Household Portfolios and Risk Bearing over Age and Time," Working Papers 15/2011, University of Verona, Department of Economics.
  4. Allen N. Berger & Thomas Kick & Klaus Schaeck, 2012. "Executive Board Composition and Bank Risk Taking," Working Papers 12004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  5. Zhang, Bei & Chu, Rong-Wei & Nie, Jun, 2014. "Wealth distribution with state-dependent risk aversion," Research Working Paper RWP 13-9, Federal Reserve Bank of Kansas City.

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