Household portfolio allocation, uncertainty, and risk
Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
2021
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| Online Access: | http://hdl.handle.net/20.500.11937/86466 |
| _version_ | 1848764830188568576 |
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| author | Brown, S. Gray, D. Harris, Mark Spencer, C. |
| author_facet | Brown, S. Gray, D. Harris, Mark Spencer, C. |
| author_sort | Brown, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a ‘flight from risk’ from riskier to safer assets. |
| first_indexed | 2025-11-14T11:25:35Z |
| format | Journal Article |
| id | curtin-20.500.11937-86466 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:25:35Z |
| publishDate | 2021 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-864662023-06-07T03:02:19Z Household portfolio allocation, uncertainty, and risk Brown, S. Gray, D. Harris, Mark Spencer, C. Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a ‘flight from risk’ from riskier to safer assets. 2021 Journal Article http://hdl.handle.net/20.500.11937/86466 10.1016/j.jempfin.2021.05.004 fulltext |
| spellingShingle | Brown, S. Gray, D. Harris, Mark Spencer, C. Household portfolio allocation, uncertainty, and risk |
| title | Household portfolio allocation, uncertainty, and risk |
| title_full | Household portfolio allocation, uncertainty, and risk |
| title_fullStr | Household portfolio allocation, uncertainty, and risk |
| title_full_unstemmed | Household portfolio allocation, uncertainty, and risk |
| title_short | Household portfolio allocation, uncertainty, and risk |
| title_sort | household portfolio allocation, uncertainty, and risk |
| url | http://hdl.handle.net/20.500.11937/86466 |