RELATIVE RISK AVERSION IS CONSTANT: EVIDENCE FROM PANEL DATA
利用面板数据研究个人在风险资产和无风险资产间的配置如何随总金融财富变化，发现风险资产份额对财富的弹性很小且统计上不显著，支持恒定相对风险厌恶假设。
Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composition use cross sectional data. Such tests must assume that the distributions of wealth and preferences are independent. We use panel data to analyze how individuals ’ portfolio allocation between risky and riskless assets varies in response to changes in total financial wealth. We find the elasticity of the risky asset share to wealth to be small and statistically insignificant, supporting the CRRA assumption; this findingisrobustwhen the sample is restricted to households experiencing ’large ’ income variations. Various extensions are discussed. 1 Assuming time-separable, homogeneous preferences characterized by constant relative risk aversion (CRRA) is a standard practice in macroeconomic and asset pricing models. The CRRA utility function has a scale invariance property: if