Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field
通过代表性调查数据，发现人们普遍存在反S形概率加权（高估小概率事件），且这种倾向与投资组合分散不足、夏普比率损失显著相关，概率加权高的人更可能持有彩票型股票和正偏态股票组合。
Abstract We test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents’ individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skewed equity portfolios. People with higher probability weighting are less likely to own mutual funds and more likely to either avoid equities or hold individual stocks. We are the first to empirically link individuals’ elicited probability weighting and real-world decisions under risk.