| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP15116
|
| DP15116 Investor Sophistication and Portfolio Dynamics |
| Adrian Buss; Grigory Vilkov
|
| 发表日期 | 2020-07-31
|
| 出版年 | 2020
|
| 语种 | 英语
|
| 摘要 | We develop a dynamic general-equilibrium framework with multiple households and multiple risky assets to explain how less- and more-sophisticated households differ in their portfolio and wealth dynamics. Differences in sophistication are modeled via heterogeneous confidence about asset returns, coupled with Bayesian learning. Consistent with recent empirical evidence, less-sophisticated households overinvest in safe assets, hold underdiversified portfolios concentrated in familiar assets, are trend chasers, and earn lower absolute and risk-adjusted investment returns. Notably, this behavior is a consequence of optimal choices rather than investment mistakes. The model explains why this behavior, despite learning, persists for long periods, thereby exacerbating wealth inequality. |
| 主题 | Financial Economics
|
| 关键词 | Household finance
Wealth inequality
Belief formation
Investors' expectations
Trend chasing
|
| URL | https://cepr.org/publications/dp15116
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544075
|
推荐引用方式
GB/T 7714 |
Adrian Buss,Grigory Vilkov. DP15116 Investor Sophistication and Portfolio Dynamics. 2020.
|
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