%0 Report
        %A Brown, Sarah
%A Gray, Daniel
%A Harris, Mark N.
%A Spencer, Christopher
        %T Portfolio Allocation, Income Uncertainty and Households' Flight from Risk
        %D 2016
        %8 2016 Dec
        %I Institute of Labor Economics (IZA)
        %C Bonn
        %7 IZA Discussion Paper
        %N 10408
        %U https://www.iza.org/publications/dp10408
        %X 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.
        %K fractional models
%K flight from risk
%K background risk
%K asset allocation