期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2008
卷号：2008
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper explores the relationship between risk attitude and asset
diversification in household portfolios. We first examine the impact of
manifested risk aversion on the total number of distinct assets held in a
portfolio (naive diversification). The second part of the paper focuses on a
more sophisticated strategy of diversification and asks whether financial theory
is compatible with observed diversification patterns. Based on the German
Socioeconomic Panel which provides unique measures of individual propensity for
taking risk, the results of the regression analysis show that, along with some
socioeconomic characteristics, the propensity for taking investment risk is an
important predictor of a household's diversification strategy. However, some of
our findings are strongly at odds with what the concept of mean-variance utility
suggests.
