Intra-Household Risk Sharing in Collective Portfolio Choice Models
通过校准的双收入家庭集体生命周期投资组合模型，发现配偶间风险厌恶系数的均值保持扩展增强了家庭内部风险分担能力，显著提高了金融风险承担，且风险分担对投资组合的经济影响大于风险分散。
Abstract Using a calibrated, collective life-cycle portfolio choice model for a dual-income couple, we show that an increase in the ability to share risk within the household due to a mean-preserving spread in the partners’ coefficients of relative risk aversion leads to a substantial increase in financial risk-taking. Importantly, we show that risk sharing has a larger economic impact on portfolio choice than risk diversification. While unitary models usually do not fully replicate the optimal portfolio choice of collective models, we propose approximations that work reasonably well for moderate background risk. We provide strong empirical support for our key findings.