投资者风险厌恶的简化度量

IF 0.4 Q4 ECONOMICS
John E. Grable, E. Kwak, M. Fulk, Aditi Routh
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引用次数: 7

摘要

本文介绍了一种简化的投资者风险规避度量。单项目问题结合了揭示偏好和倾向测量技术的元素,以一种与传统的恒定相对风险厌恶估计程序相匹配的方式。根据对生活在美国的500名投资者的调查数据,研究人员发现,拟议措施的得分与其他风险厌恶措施以及风险承担指标相关。一项效度检验表明,对所提出的措施的回答在统计上与被调查者投资组合中的股权和现金所有权持有相关。所提议的测量方法的简单性和直觉性,以及问题回答类别与持续相对风险厌恶的估计值的一致性,使其成为研究人员、金融教育者、投资者和向投资者提供建议的人的工具包中潜在的有价值的补充。Jel: c83, d10, d11, d14, d19, d81
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Simplified Measure of Investor Risk Aversion
This article introduces a simplified measure of investor risk aversion. The singleitem question combines elements from revealed preference and propensity measurement techniques in a way that matches traditional constant relative risk-aversion estimation procedures. Based on survey data from 500 investors living in the United States, scores from the proposed measure were found to correlate with other measures of risk aversion, as well as with indicators of risk-taking. A validity test showed that answers to the proposed measure were statistically associated with equity and cash ownership holdings in respondent portfolios. The simplicity and intuitive nature of the proposed measure and the alignment of question response categories to estimates of constant relative risk aversion make this a potentially valuable addition to the toolkit of researchers, financial educators, investors and those who provide advice to investors. JEL: C83, D10, D11, D14, D19, D81
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来源期刊
CiteScore
1.40
自引率
0.00%
发文量
14
期刊介绍: The explosion of information and research that has taken place in recent years has had a profound effect upon a variety of existing academic disciplines giving rise to the dissolution of barriers between some, mergers between others, and the creation of entirely new fields of enquiry.
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