Asset Integration and Attitudes toward Risk: Theory and EvidenceShow others and affiliations
2018 (English)In: Review of Economics and Statistics, ISSN 0034-6535, E-ISSN 1530-9142, Vol. 100, no 5, p. 816-830Article in journal (Refereed) Published
Abstract [en]
We provide evidence that choices over small stakes bets are consistent with assumptions of some payoff calibration paradoxes. We then exploit the existence of detailed information on individual wealth of our experimental subjects in Denmark, and directly estimate risk attitudes and the degree of asset integration. We discover that behavior is consistent with partial, rather than full, asset integration. The implied risk attitudes from estimating these specifications indicate risk premia and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.
Place, publisher, year, edition, pages
MIT Press, 2018. Vol. 100, no 5, p. 816-830
National Category
Economics
Identifiers
URN: urn:nbn:se:oru:diva-68871DOI: 10.1162/rest_a_00719ISI: 000453815900005Scopus ID: 2-s2.0-85056700536OAI: oai:DiVA.org:oru-68871DiVA, id: diva2:1247478
Note
Funding Agencies:
U.S. National Science Foundation NSF/HSD 0527675 NSF/SES 0616746 NSF/SES 0849590
Danish Social Science Research Council 24-02-0124 275-08-0289
2018-09-122018-09-122019-01-08Bibliographically approved