Title: Portfolio allocation, income uncertainty and households’ flight from risk (with Sarah Brown, Mark N Harris and Christopher Spencer)
Abstract: 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 safer assets.
Sir Clive Granger BuildingUniversity of NottinghamUniversity Park
Nottingham, NG7 2RD
+44 (0)115 951 5620
Connect with the University of Nottingham through social media and our blogs.
Campus maps | More contact information | Jobs
Browser does not support script.