The demand for risky assets: Sample selection and household portfolios

DOI10.1016/S0304-4076(99)00069-XMaRDI QIDQ1580342zbMATH OpenWikidataFDO

Authors William R. M. Perraudin, Bent E. Sørensen

Publication date 3 January 2001

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

logit modeldiscrete-continuous modelmonitoring costsconsumer financesincomplete portfolios

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Saving Accounts versus Stocks and Bonds in Household Portfolio Allocation
• Estimation of asset demands by heterogeneous agents
• Demand for risky financial assets: A portfolio analysis
• Relative risk aversion once more: An analysis of Japanese households' financial asset holding pattern
• The demand for a risky asset in the presence of a background risk

Cites work

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• Bivariate alternatives to the Tobit model
• Community Preferences and the Representative Consumer
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• Dummy Endogenous Variables in a Simultaneous Equation System
• Estimation of Relationships for Limited Dependent Variables
• Estimation of consumer demand systems with binding non-negativity constraints
• MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
• Microeconometric Demand System with Binding Nonnegativity Constraints: The Dual Approach
• Portfolio Selection with Transaction Costs
• Portfolio Theory, Asset Demand and Taxation: Comparative Statics with Many Assets
• Precautionary portfolio behavior from a life-cycle perspective
• Saving Accounts versus Stocks and Bonds in Household Portfolio Allocation

Cited in

(8)

• Do disaster expectations explain household portfolios?
• On user costs of risky monetary assets
• Estimation of asset demands by heterogeneous agents
• Relative risk aversion once more: An analysis of Japanese households' financial asset holding pattern
• Demand for risky financial assets: A portfolio analysis
• Does a Household’s Wealth Determine the Risk Profile of Its Financial Asset Portfolio?
• THE DEMAND FOR A RISKY ASSET: SIGNING, JOINTLY AND SEPARATELY, THE EFFECTS OF THREE DISTRIBUTIONAL SHIFTS
• Does relative risk aversion vary with wealth? Evidence from households portfolio choice data

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