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Portfolio Choice in the Presence of Nontradeable Income: An Experimental Analysis

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  • Klos, Alexander

    () (Sonderforschungsbereich 504)

  • Weber, Martin

    () (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)

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    Abstract

    This paper reports the results of experiments on portfolio choice in the presence of nontradeable income. The nontradeable income part could either be riskless or risky (background risk). In many cases, we observe behavior which is qualitatively consistent with the predictions of normative theory. However, correlations between financial and nontradeable wealth are neglected. The computation of aggregated risk profiles helps subjects to partly overcome the deviations from normative theory due to neglect of correlations.

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    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-01.pdf
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    Bibliographic Info

    Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 04-01.

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    Length: 37 pages
    Date of creation: 03 Feb 2004
    Date of revision:
    Handle: RePEc:xrs:sfbmaa:04-01

    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    Cited by:
    1. Nittai K. Bergman & Dirk Jenter, 2005. "Employee Sentiment and Stock Option Compensation," NBER Working Papers 11409, National Bureau of Economic Research, Inc.

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