Heterogeneous effect of risk aversion on asset allocation decisions
(2021) NEKN01 20211Department of Economics
- Abstract (Swedish)
- I analyse the effect of risk aversion on the share of wealth investment on risky tradable financial assets at individual level by exploiting the results of a laboratory experiment on a sample of over 700 Dutch respondents. The estimates of an econometric model show that for different wealth levels, risk aversion has heterogeneous effects on the share of wealth invested in risky tradable financial assets. The results are robust to different definitions of top and bottom wealth individuals and to different definitions of wealth. I argue that the findings support the hypothesis that familiarity – defined as the tendency of individuals to concentrate investments in assets with which the investor is close in terms of professional proximity or... (More)
- I analyse the effect of risk aversion on the share of wealth investment on risky tradable financial assets at individual level by exploiting the results of a laboratory experiment on a sample of over 700 Dutch respondents. The estimates of an econometric model show that for different wealth levels, risk aversion has heterogeneous effects on the share of wealth invested in risky tradable financial assets. The results are robust to different definitions of top and bottom wealth individuals and to different definitions of wealth. I argue that the findings support the hypothesis that familiarity – defined as the tendency of individuals to concentrate investments in assets with which the investor is close in terms of professional proximity or of knowledge- is a main driver of households’ portfolio asset allocation decisions (D14, G11) (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9048768
- author
- Tugnoli, Andrea LU
- supervisor
- organization
- course
- NEKN01 20211
- year
- 2021
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- risk aversion portfolio decision familiarity
- language
- English
- id
- 9048768
- date added to LUP
- 2021-07-05 13:28:56
- date last changed
- 2021-07-05 13:28:56
@misc{9048768, abstract = {{I analyse the effect of risk aversion on the share of wealth investment on risky tradable financial assets at individual level by exploiting the results of a laboratory experiment on a sample of over 700 Dutch respondents. The estimates of an econometric model show that for different wealth levels, risk aversion has heterogeneous effects on the share of wealth invested in risky tradable financial assets. The results are robust to different definitions of top and bottom wealth individuals and to different definitions of wealth. I argue that the findings support the hypothesis that familiarity – defined as the tendency of individuals to concentrate investments in assets with which the investor is close in terms of professional proximity or of knowledge- is a main driver of households’ portfolio asset allocation decisions (D14, G11)}}, author = {{Tugnoli, Andrea}}, language = {{eng}}, note = {{Student Paper}}, title = {{Heterogeneous effect of risk aversion on asset allocation decisions}}, year = {{2021}}, }