Twin picks: Disentangling the determinants of risk-taking in household portfolios

Arbeitspapier

This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also drives risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our micro findings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SAFE Working Paper ; No. 13

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Household Saving; Personal Finance ; Portfolio Choice; Investment Decisions
• Thema: Asset allocation ; communication ; genetics ; habit formation ; human capital ; labor income ; leverage ; participation ; risk-taking ; social interactions ; twin study

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Calvet, Laurent E. ; Sodini, Paolo
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (wo): Frankfurt a. M.
• (wann): 2013

Weitere Informationen

• DOI: doi:10.2139/ssrn.2244168
• Handle: http://hdl.handle.net/10419/88722
• URN: urn:nbn:de:hebis:30:3-293833
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ