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Heterogeneous effect of risk aversion on asset allocation decisions

Tugnoli, Andrea LU (2021) NEKN01 20211
Department 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:
author
Tugnoli, Andrea LU
supervisor
organization
course
NEKN01 20211
year
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}},
}