Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status
研究了社会地位关注如何影响投资者对特质风险和总体风险的态度，模型预测投资者持有集中投资组合，有助于解释创业风险溢价偏低的现象，且财富越高的家庭受地位关注影响越大。
ABSTRACT Social status concerns influence investors' decisions by driving a wedge in attitudes toward aggregate and idiosyncratic risks. I model such concerns by emphasizing the desire to “get ahead of the Joneses,” which implies that aversion to idiosyncratic risk is lower than aversion to aggregate risk. The model predicts that investors hold concentrated portfolios in equilibrium, which helps rationalize the small premium for undiversified entrepreneurial risk. In the model, status concerns are more important for wealthier households. Consequently, these households own a disproportionate share of risky assets, particularly private equity, and experience greater volatility of consumption, consistent with empirical evidence.