The Willingness to Pay for Diversification
通过实验证明决策者对分散化有内在偏好，且这种偏好受风险厌恶和损失厌恶驱动，估计分散化价值约为初始禀赋的5%，有助于解释投资组合中的非理性分散化等异常现象。
Diversification is a fundamental concept in economics and finance. This paper argues that decision makers have an intrinsic preference for diversification that is responsive to cost and that this willingness to pay for diversification is driven by risk aversion and loss aversion. In an experiment replicating a portfolio choice problem, the value of diversification is estimated to be at 5% of the initial endowment of approximately $100. Moreover, risk-averse and loss-averse individuals are willing to pay more for diversification. These findings point to the idea that diversification is a fundamental preference and may help explain portfolio choice anomalies such as irrational diversification, the diversification bias, and overdiversification. This paper was accepted by Tomasz Piskorski, finance.