Central bank research hub - Papers by Arie Kapteyn
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Research hub papers by author Arie KapteynenSubjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice
http://www.dnb.nl/en/binaries/Working%20paper%20216_tcm47-220406.pdf
Netherlands Bank DNB Working Papers by Arie Kapteyn and Federica TeppaSubjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice2009-08-01T12:00:00ZThe paper investigates risk attitudes among different types of individuals. We use several different measures of risk attitudes, including questions on choices between uncertain income streams suggested by Barsky et al. (1997) and a number of ad hoc measures. As in Barsky et al. (1997) and Arrondel and Calvo-Pardo (2002), we first analyse individual variation in the risk aversion measures and explain them by background characteristics (both ¿objective¿ characteristics and other subjective measures of risk preference). Next we incorporate the measured risk attitudes into a household portfolio allocation model, which explains portfolio shares, while accounting for incomplete portfolios and fixed costs. Our results show that a measure based on factor analysis of answers to a number of simple risk preference questions has the most explanatory power. The Barsky et al. (1997) measure has less explanatory power than this ¿a-theoretical¿ measure. We provide a discussion of the reasons for this finding. Fixed costs turn out to provide an economically and statistically highly significant explanation for incomplete portfolios. Keywords: Risk Aversion; Portfolio Choice; Subjective Measures; Econometric Models, Fixed Costs. JEL Classification: C5, C9, D12, G11.Subjective Measures of Risk Aversion, Fixed Costs, and Portfolio ChoiceFull texthttp://www.dnb.nl/en/binaries/Working%20paper%20216_tcm47-220406.pdfArie KapteynFederica TeppaArie Kapteyn and Federica Teppa2009-07Netherlands Bank DNB Working PapersUsing Stated Preferences Data to Analyze Preferences for Full and Partial Retirement
http://www.dnb.nl/dnb/bin/doc/Working%20Paper%20No.%2081-2006_tcm13-68753.pdf
Netherlands Bank DNB Working Papers by Arthur van Soest, Arie Kapteyn and Julie ZissimopoulosUsing Stated Preferences Data to Analyze Preferences for Full and Partial Retirement2006-02-14T18:25:59ZUsing Stated Preferences Data to Analyze Preferences for Full and Partial RetirementFull texthttp://www.dnb.nl/dnb/bin/doc/Working%20Paper%20No.%2081-2006_tcm13-68753.pdfArthur van SoestArie KapteynJulie ZissimopoulosArthur van Soest, Arie Kapteyn and Julie Zissimopoulos2006-01Netherlands Bank DNB Working PapersC81J26