| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13109 |
| DP13109 Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field | |
| Roy Kouwenberg; Olivia S Mitchell; Kim Peijnenburg | |
| 发表日期 | 2018-08-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We explore the relation between probability weighting and household portfolio underdiversification in a representative household survey, using custom-designed incentivized lotteries. On average, people display Inverse-S shaped probability weighting, overweighting the small probabilities of tail events. As theory predicts, our Inverse-S measure is positively associated with portfolio underdiversification, which results in significant Sharpe ratio losses. We match respondents’ individual stock holdings to CRSP data and find that people with higher Inverse-S tend to pick stocks with positive skewness and hold positively-skewed equity portfolios. We show that these choices reflect preferences rather than probability unsophistication or limited financial knowledge. |
| 主题 | Financial Economics |
| 关键词 | Household finance Portfolio underdiversification Probability weighting Rank dependent utility Cumulative prospect theory Household portfolio puzzles Stock market participation |
| URL | https://cepr.org/publications/dp13109 |
| 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/541912 |
| 推荐引用方式 GB/T 7714 | Roy Kouwenberg,Olivia S Mitchell,Kim Peijnenburg. DP13109 Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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