论文标题
家庭投资组合的风险偏好和效率
Risk Preferences and Efficiency of Household Portfolios
论文作者
论文摘要
我们提出了一种新颖的方法，可以从投资组合选择中推断投资者的风险偏好，然后使用隐含的风险偏好来衡量投资组合的效率。我们分析了一个跨越六年的数据集，包括月末股票交易记录，以及投资者的人口统计信息和自我评估的财务知识。与根据风险资产的份额对风险规避的估计不同，我们的统计分析表明，投资者的隐含风险规避系数随她的财富和金融素养而增加。投资组合多元化，Sharpe比率和预期投资组合返回与投资组合的效率呈正相关，而较高的标准偏差降低了投资组合的效率。我们发现，受过富裕和经济教育的投资者以及与退休相关的帐户的投资者拥有更有效的投资组合。
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six years, consisting of end of month stock trading records, along with investors' demographic information and self-assessed financial knowledge. Unlike estimates of risk aversion based on the share of risky assets, our statistical analysis suggests that the implied risk aversion coefficient of an investor increases with her wealth and financial literacy. Portfolio diversification, Sharpe ratio, and expected portfolio returns correlate positively with the efficiency of the portfolio, whereas a higher standard deviation reduces the efficiency of the portfolio. We find that affluent and financially educated investors as well as those holding retirement related accounts hold more efficient portfolios.
