| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13337 |
| 来源ID | Working Paper 13337 |
| Imputing Risk Tolerance from Survey Responses | |
| Miles S. Kimball; Claudia R. Sahm; Matthew D. Shapiro | |
| 发表日期 | 2007-08-21 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Economic theory assigns a central role to risk preferences. This paper develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this paper shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The paper also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13337 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571007 |
| 推荐引用方式 GB/T 7714 | Miles S. Kimball,Claudia R. Sahm,Matthew D. Shapiro. Imputing Risk Tolerance from Survey Responses. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13337.pdf（248KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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