| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10332
|
| DP10332 Risk Aversion in a Dynamic Asset Allocation Experiment |
| Juan Carrillo; Isabelle Brocas
|
| 发表日期 | 2015-01-11
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | We conduct a controlled laboratory experiment where subjects dynamically choose their portfolio allocation between a safe and a risky asset. We first derive analytically the optimal allocation of an expected utility maximizer with HARA utility function. We then fit the experimental choices to this model to assess the risk attitude of our subjects. Despite the substantial heterogeneity across subjects, decreasing absolute risk aversion and increasing relative risk aversion are the most prevalent risk types, and we can classify more than 50% of the subjects in this combined category. We also find evidence of increased risk taking after a gain but the effect is small in magnitude. Overall, our robustness tests show that the behavior of subjects is generally well accounted for by the HARA expected utility model. Finally, the analysis at the session level suggests that the behavior of the representative agent is less heterogeneous and closer to (though statistically different from) constant relative risk aversion. |
| 主题 | Financial Economics
|
| 关键词 | Crra
Hara
Laboratory experiments
Portfolio allocation
Risk aversion
|
| URL | https://cepr.org/publications/dp10332
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539163
|
推荐引用方式
GB/T 7714 |
Juan Carrillo,Isabelle Brocas. DP10332 Risk Aversion in a Dynamic Asset Allocation Experiment. 2015.
|
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