Household Portfolios and Implicit Risk Preference
基于美国家庭投资组合数据，推导风险容忍度的代理指标，发现风险容忍度随年龄下降、随财富上升，而教育、性别、种族等变量与风险态度无显著关系。
We derive the distribution of a proxy for the risk tolerance in a representative sample of U.S. households. Our measure is deduced from the willingness to bear risk as indicated by the variance of returns of each household's observed portfolio. The estimates, obtained assuming constraints on portfolio composition, show substantial heterogeneity across households. We find that risk tolerance falls with age and increases with wealth. Other variables, such as education, gender, race, and household size, do not have a significant relation to risk attitude. Our findings are robust to changes in portfolio definition, asset returns, and sample composition. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.