TY  - RPRT
        AU  - Brown, Sarah
AU  - Gray, Daniel
AU  - Harris, Mark N.
AU  - Spencer, Christopher
        TI  - Portfolio Allocation, Income Uncertainty and Households' Flight from Risk
        PY  - 2016/Dec/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 10408
        UR  - https://www.iza.org/publications/dp10408
        AB  - 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.
        KW  - fractional models
KW  - flight from risk
KW  - background risk
KW  - asset allocation
        ER  -