Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Italian Micro-Evidence on Household Asset Allocation

2012 ◽  
Author(s):  
Giuseppe Cappelletti
Keyword(s):  
Risk Aversion ◽  
Asset Allocation ◽  
Time Varying ◽  
Household Asset

Inter-Temporal Optimal Asset Allocation and Time-Varying Risk Aversion

2014 ◽  
Vol 8 (6) ◽  
pp. 2729-2737 ◽  
Author(s):  
Honglin Yang ◽  
Penglan Fang ◽  
Hong Wan ◽  
Yong Zha
Keyword(s):  
Risk Aversion ◽  
Asset Allocation ◽  
Time Varying

scholarly journals Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

2008 ◽  
Vol 98 (3) ◽  
pp. 713-736 ◽  
Author(s):  
Markus K Brunnermeier ◽  
Stefan Nagel
Keyword(s):  
Risk Aversion ◽  
Asset Allocation ◽  
Panel Study ◽  
Capital Gains ◽  
Time Varying ◽  
Income Dynamics ◽  
Risky Assets ◽  
Household Portfolio ◽  
Consumption Commitments ◽  
Gains And Losses

We use data from the Panel Study of Income Dynamics to investigate how households' portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of household portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses. (JEL D14, D31)

Sign in / Sign up

Export Citation Format

Share Document