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    Household portfolio allocation, uncertainty, and risk

    86348.pdf (617.7Kb)
    Access Status
    Open access
    Authors
    Brown, S.
    Gray, D.
    Harris, Mark
    Spencer, C.
    Date
    2021
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Brown, S. and Gray, D. and Harris, M.N. and Spencer, C. 2021. Household portfolio allocation, uncertainty, and risk. Journal of Empirical Finance. 63: pp. 96-117.
    Source Title
    Journal of Empirical Finance
    DOI
    10.1016/j.jempfin.2021.05.004
    ISSN
    0927-5398
    Faculty
    Faculty of Business and Law
    School
    School of Accounting, Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/86466
    Collection
    • Curtin Research Publications
    Abstract

    Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a ‘flight from risk’ from riskier to safer assets.

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