Steffen Andersen
Asset Integration and Attitudes Toward Risk: Theory and Evidence
Andersen, Steffen; Cox, James C.; Harrison, Glenn W.; Lau, Morten I.; Rutström, E.; Sadiraj, V.
Authors
James C. Cox
Glenn W. Harrison
Professor Morten Lau m.i.lau@durham.ac.uk
Professor
E. Rutström
V. Sadiraj
Abstract
We provide evidence that choices over small stakes bets are consistent with assumptions of some payoff calibration paradoxes. We then exploit the existence of detailed information on individual wealth of our experimental subjects in Denmark, and directly estimate risk attitudes and the degree of asset integration. We discover that behavior is consistent with partial, rather than full, asset integration. The implied risk attitudes from estimating these specifications indicate risk premia and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.
Citation
Andersen, S., Cox, J. C., Harrison, G. W., Lau, M. I., Rutström, E., & Sadiraj, V. (2018). Asset Integration and Attitudes Toward Risk: Theory and Evidence. The Review of Economics and Statistics, 100(5), 816-830. https://doi.org/10.1162/rest_a_00719
Journal Article Type | Article |
---|---|
Acceptance Date | Oct 2, 2017 |
Online Publication Date | Jan 12, 2018 |
Publication Date | Dec 19, 2018 |
Deposit Date | Oct 3, 2017 |
Publicly Available Date | Oct 4, 2017 |
Journal | Review of Economics and Statistics |
Print ISSN | 0034-6535 |
Electronic ISSN | 1530-9142 |
Publisher | Massachusetts Institute of Technology Press |
Peer Reviewed | Peer Reviewed |
Volume | 100 |
Issue | 5 |
Pages | 816-830 |
DOI | https://doi.org/10.1162/rest_a_00719 |
Public URL | https://durham-repository.worktribe.com/output/1343737 |
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Copyright Statement
© 2018 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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