Twin Picks: Disentangling the Determinants of Risk‐Taking in Household Portfolios
利用瑞典双胞胎面板数据，研究发现家庭金融财富与风险资产投资比例呈递增凹函数关系，人力资本正向影响风险承担，而内部习惯和支出承诺则降低风险承担，支持递减相对风险厌恶和习惯形成偏好。
ABSTRACT This paper investigates risk‐taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk‐taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative‐agent models.