Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Asset integration and attitudes toward risk : theory and evidence.

Andersen, Steffen and Cox, James C. and Harrison, Glenn W. and Lau, Morten I. and Rutström, E. and Sadiraj, V. (2018) 'Asset integration and attitudes toward risk : theory and evidence.', Review of economics and statistics., 100 (5). pp. 816-830.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Download PDF
(1102Kb)
Full text:(VoR) Version of Record
Download PDF
(453Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1162/rest_a_00719
Publisher statement:© 2018 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Date accepted:02 October 2017
Date deposited:04 October 2017
Date of first online publication:12 January 2018
Date first made open access:04 October 2017

Save or Share this output

Export:
Export
Look up in GoogleScholar