Work

Ambiguity Preferences and Portfolio Choices: Evidence from the Field

Year: 2014

Type: book

Abstract: We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings. First, conditional on participation, ambiguity averse investors hold riskier portfolios. Second, they rebalance their portfolio in a contrarian direction relative to the market. Accordingly, their exposure to risk is more stable over time. Third, their portfolios experience higher returns, but they are also more sensitive to market trends. In several instances, the effects of ambiguity aversion stand in sharp contrast with those of risk aversion.

Source: Toulouse 1 Capitole Publications (Université Toulouse I Capitole)

Authors: Milo Bianchi, Jean‐Marc Tallon

Institutions: Toulouse School of Economics, Centre National de la Recherche Scientifique, Paris School of Economics

Language: English

Topic: Decision-Making and Behavioral Economics

Subfield: General Decision Sciences

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3023469161

FWCI:

Cites:

Cited by: 1

Related to: 10