Investors' Risk Attitude and Risky Behavior: A Bayesian Approach with Imperfect Information

Subjective measures of risk aversion, fixed costs, and portfolio choice

“…This is consistent with our priors and with the literature on risk preferences (e.g. Levin et al, 1988;Barsky et al, 1997;Iezzi, 2008). Age is strongly and positively related to both risk aversion and to being careful and cautious.…”

“…A prominent example is the paper by Barsky et al (1997) who elicit several pieces of subjective information to improve our understanding of intertemporal choice and portfolio allocation by using US data. More recently, Iezzi (2008) uses a risk aversion measure coming from a subjective question in the Bank of Italy households survey, and explicitly accounts for potential misclassification between the true and the observed risk aversion.…”

Mesurer les préférences des épargnants : comment et pourquoi (en temps de crise) ?

“…Les autres mesures subjectives du type de celle de Kapteyn et Teppa (2011) ou de Iezzi (2008), qui se proposent d'interroger directement les ménages sur leurs stratégies ou intentions en matière d'investissement (sur le mode de la question analysée au graphique VI) aboutissent à la même conclusion : les ménages seraient de plus en plus nombreux à opter pour une absence totale de prise de risque dans le portefeuille financier.…”