Focusing on volatility information instead of portfolio weights as an aid to investor decisions


Ehm, Christian ; Laudenbach, Christine ; Weber, Martin



DOI: https://doi.org/10.1007/s10683-017-9537-0
URL: https://link.springer.com/article/10.1007/s10683-0...
Additional URL: https://www.researchgate.net/publication/319146517...
Document Type: Article
Year of publication: 2018
The title of a journal, publication series: Experimental Economics
Volume: 21
Issue number: 2
Page range: 457-480
Place of publication: Dordrecht [u.a.]
Publishing house: Springer Science + Business Media B.V.
ISSN: 1386-4157 , 1573-6938
Publication language: English
Institution: Business School > ABWL u. Bankbetriebslehre (Seniorprofessur) (Weber 2017-)
Subject: 330 Economics
Classification: JEL: G11,
Keywords (English): Risk taking , Volatility inadaptability , Asset allocation , Experience sampling , Risk perception
Abstract: When faced with the challenge of forming a portfolio containing a risky and a risk-free asset, investors tend to apply the same portfolio weights independently of the volatility of the risky asset. This “percentage heuristic” can lead to different levels of portfolio risk when the same investor is presented with a more or a less risky asset. Using four experiments, we show that asking investors to choose the return distribution for their portfolio while keeping the exact portfolio weights unknown leads to greater similarity in levels of portfolio volatility (across different levels of risk of the risky asset) than asking investors to choose this distribution while additionally facing the portfolio weights. Higher consistency in risk taking is obtained both between and within test subjects.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Ehm, Christian ; Laudenbach, Christine ; Weber, Martin (2018) Focusing on volatility information instead of portfolio weights as an aid to investor decisions. Experimental Economics Dordrecht [u.a.] 21 2 457-480 [Article]


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