Ambiguity Preferences and Portfolio Choices: Evidence from the Field

Milo Bianchi and Jean-Marc Tallon

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Portfolio choice; risk; uncertainty (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2014-09
New Economics Papers: this item is included in nep-exp and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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ftp://mse.univ-paris1.fr/pub/mse/CES2014/14065.pdf (application/pdf)

Related works:
Working Paper: Ambiguity Preferences and Portfolio Choices: Evidence from the Field (2017)
Working Paper: Ambiguity Preferences and Portfolio Choices: Evidence from the Field (2014)
Working Paper: Ambiguity Preferences and Portfolio Choices: Evidence from the Field (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:14065

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