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Asset Integration and Attitudes toward Risk: Theory and Evidence
Department of Finance, Copenhagen Business School, Copenhagen, Denmark .
Department of Economics and Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, USA.
Department of Risk Management & Insurance and Center for the Economic Analysis of Risk, Robinson College of Business, Georgia State University, USA .
Department of Economics, Copenhagen Business School, Copenhagen, Denmark.
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2018 (Engelska)Ingår i: Review of Economics and Statistics, ISSN 0034-6535, E-ISSN 1530-9142, Vol. 100, nr 5, s. 816-830Artikel i tidskrift (Refereegranskat) 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.

Ort, förlag, år, upplaga, sidor
MIT Press, 2018. Vol. 100, nr 5, s. 816-830
Nationell ämneskategori
Nationalekonomi
Identifikatorer
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
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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 

Tillgänglig från: 2018-09-12 Skapad: 2018-09-12 Senast uppdaterad: 2019-01-08Bibliografiskt granskad

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Rutström, Elisabet

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