Volatility Inadaptability: Investors Care About Risk, but can´t Cope with Volatility

Ehm, Christian ; Kaufmann, Christine ; Weber, Martin

DOI: https://doi.org/10.1093/rof/rft032
URL: https://academic.oup.com/rof/article-lookup/doi/10...
Document Type: Article
Year of publication: 2014
The title of a journal, publication series: Review of Finance
Volume: 18
Issue number: 4
Page range: 1387-1423
Place of publication: Oxford
Publishing house: Oxford Univ. Press
ISSN: 1572-3097 , 1573-692X
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Classification: JEL: G12,
Abstract: This article investigates two research questions: do investors see a relationship between risk attitude and the amount invested into risky assets? Further, do investors adjust their investments if provided with assets that have different volatilities? In an experimental study, investors allocate an amount between a risky and a risk-free asset. Investors’ risk attitude predicts risk taking. Investors are, however, unable to adapt to risky assets with different volatilities; they choose almost the same allocation to the risky asset independently of its volatility, thus amassing significantly different portfolios.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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