| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11056
|
| DP11056 Skewness Seeking in a Dynamic Portfolio Choice Experiment |
| Juan Carrillo; Isabelle Brocas
|
| 发表日期 | 2016-01-24
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | We conduct a controlled laboratory experiment in which subjects dynamically choose to allocate their portfolio between (i) a safe asset, (ii) a risky asset and (iii) a skewed asset with negative expected value (a ?bet?), in an environment where they can sometimes choose to acquire some information about the performance of their peers. We find three distinct groups of individuals: 16% of subjects never buy the bet, 29% of subjects learn not to buy the bet and 55% subjects persist purchasing the bet throughout the experiment. Among the latter group, purchases are most frequent when subjects are rich and when it is their last opportunity. Our subjects are also interested in the wealth of others, especially relative to theirs. Indeed, a subject with low, medium and high wealth has a preference for finding out what is the minimum, average and maximum wealth in the session, respectively. We also find that subjects buy more bets when they are richer and (unexpectedly) learn that their peers outperform them. |
| 主题 | Financial Economics
|
| 关键词 | Laboratory experiment
Portfolio allocation
Skewed asset
Relative performance
|
| URL | https://cepr.org/publications/dp11056
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539885
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推荐引用方式
GB/T 7714 |
Juan Carrillo,Isabelle Brocas. DP11056 Skewness Seeking in a Dynamic Portfolio Choice Experiment. 2016.
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