Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/161031 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 10408
Verlag: 
Institute of Labor Economics (IZA), Bonn
Zusammenfassung: 
Analysing the US Panel Study of Income Dynamics, we present a new empirical method to investigate the extent to which households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated fractional ordered probit model – quantifies how the overall asset composition in a portfolio adjusts with background risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from riskier to safe assets.
Schlagwörter: 
asset allocation
background risk
flight from risk
fractional models
JEL: 
C33
C35
D14
G11
Dokumentart: 
Working Paper

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