@TechReport{iza:izadps:dp10408,
            	author={Brown, Sarah and Gray, Daniel and Harris, Mark N. and Spencer, Christopher},
            	title={Portfolio Allocation, Income Uncertainty and Households' Flight from Risk},
            	year={2016},
	month={Dec},
            	institution={Institute of Labor Economics (IZA)},
            	address={Bonn},
            	type={IZA Discussion Paper},
            	number={10408},
            	url={https://www.iza.org/publications/dp10408},
	abstract={Analysing the US Panel Study of Income Dynamics, we present a new empirical method to investigate the extent to which households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated fractional ordered probit model – quantifies how the overall asset composition in a portfolio adjusts with background risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from riskier to safe assets.},
	keywords={fractional models;flight from risk;background risk;asset allocation},
            }