14 October 2010, h 12:00
“US Household Portfolios and Risk Attitude over Time”
by Raffaele Miniaci (University of Brescia)
Abstract
We exploit the Survey of Consumer Finances (SCF) from 1995 to 2007 to provide new insights on the evolution over time of US households’ portfolios and risk attitude. Specifically, we consider three measures of portfolio risk: the share held in stocks, the standard deviation of investment returns, and the risk tolerance implicit in observed holdings. Our findings, obtained under different assumptions on portfolio composition, show that housing plays a crucial role in shaping the overall portfolio and its rebalancing; portfolio shares do not convey the same information as standard deviation and risk tolerance estimates; willingness to bear risk decreases with age and increases with wealth; risk attitudes vary remarkably across cohorts and with age.