The Review of Economics and Statistics Vol. 93 No. 4 2011

Household Portfolios and Implicit Risk Preference

Alessandro Bucciol^1,2,3; Raffaele Miniaci^4,5

¹ University of Verona · ² Network for Studies on Pensions, Aging and Retirement · ³ University of Amsterdam · ⁴ Brescia University · ⁵ University of Brescia

Abstract

We derive the distribution of a proxy for the risk tolerance in a representative sample of U.S. households. Our measure is deduced from the willingness to bear risk as indicated by the variance of returns of each household's observed portfolio. The estimates, obtained assuming constraints on portfolio composition, show substantial heterogeneity across households. We find that risk tolerance falls with age and increases with wealth. Other variables, such as education, gender, race, and household size, do not have a significant relation to risk attitude. Our findings are robust to changes in portfolio definition, asset returns, and sample composition.

DOI

10.1162/rest_a_00138

Volume

93

Issue

4

Pages

1235-1250

Language

en

Sources

openalex crossref

Cite

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