Risk Aversion in a Dynamic Asset Allocation Experiment
通过实验室实验模拟动态资产配置，拟合HARA效用函数刻画参与者的风险特征，发现递减绝对风险厌恶和递增相对风险厌恶是主要类型，且盈利后风险承担增加。
We conduct a controlled laboratory experiment in the spirit of Merton (1971), in which subjects dynamically choose their portfolio allocation between a risk-free and risky asset. Using the optimal allocation of an investor with hyperbolic absolute risk aversion (HARA) utility, we fit the experimental choices to characterize the risk profile of our participants. Despite substantial heterogeneity, decreasing absolute risk aversion and increasing relative risk aversion are the predominant types. We also find some evidence of increased risk taking after a gain. Finally, the session level risk attitudes show a different profile than the individual descriptions of risk attitudes.