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dc.contributor.authorBrown, S.
dc.contributor.authorGray, D.
dc.contributor.authorHarris, Mark
dc.contributor.authorSpencer, C.
dc.date.accessioned2021-11-17T04:44:43Z
dc.date.available2021-11-17T04:44:43Z
dc.date.issued2021
dc.identifier.citationBrown, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/86466
dc.identifier.doi10.1016/j.jempfin.2021.05.004
dc.description.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.

dc.titleHousehold portfolio allocation, uncertainty, and risk
dc.typeJournal Article
dcterms.source.volume63
dcterms.source.startPage96
dcterms.source.endPage117
dcterms.source.issn0927-5398
dcterms.source.titleJournal of Empirical Finance
dc.date.updated2021-11-17T04:44:43Z
curtin.departmentSchool of Accounting, Economics and Finance
curtin.accessStatusFulltext not available
curtin.facultyFaculty of Business and Law
curtin.contributor.orcidHarris, Mark [0000-0002-1804-4357]
curtin.contributor.researcheridHarris, Mark [O-5084-2015]
curtin.contributor.scopusauthoridHarris, Mark [35561581200] [55310794400]
dc.date.embargoEnd2023-06-05


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