Household Portfolio Diversification: A Case for Rank-Dependent Preferences
Household Portfolio Diversification: A Case for Rank-Dependent Preferences
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DOI：
10.1093/rfs/hhi033
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发表时间：
2005-12
影响因子：
8.2
通讯作者：
Valery Polkovnichenko
中科院分区：
文献类型：
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作者：
Valery Polkovnichenko
金融经济学中新的偏好理论的扩散受到缺乏非实验证据和理论的额外复杂性的阻碍，这些理论在应用中没有被证明是关键的。在这篇文章中，我提出了支持等级依赖偏好的论点。使用消费者金融调查的数据，我文件两个普遍的模式与预期效用不一致：（一）许多家庭同时投资于分散性良好的基金和分散性差的股票投资组合;（二）一些家庭有大量储蓄不投资于股票。我表明，投资组合选择模型与排名依赖的偏好，合理的参数化和充分理性的假设下，在数量上与观察到的多样化一致。这些结果要求进一步努力整合的排名依赖的偏好模型在投资组合理论和资产定价。版权所有2005年，牛津大学出版社。
The proliferation of novel preference theories in financial economics is hampered by a lack of non-experimental evidence and by the theories' additional complexity which has not been shown to be critical in applications. In this article I present arguments in support of preferences with rank dependency. Using the Survey of Consumer Finances data, I document two widespread patterns inconsistent with expected utility: (i) many households simultaneously invest in well-deversified funds and in poorly-diversified portfolios of stocks; and (ii) some households with substantial savings do not invest anything in equities. I show that portfolio choice models with rank-dependent preferences, plausibly parameterized and under fully rational assumptions, are quantitatively consistent with the observed diversification. These results call for further efforts to integrate the models of rank-dependent preferences in portfolio theory and asset pricing. Copyright 2005, Oxford University Press.