The Portfolio Structure of German Households: A Multinomial Fractional Response Approach with unobserved Heterogeneity

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dc.contributor.author Becker, Gideon
dc.date.accessioned 2014-11-05T10:38:19Z
dc.date.available 2014-11-05T10:38:19Z
dc.date.issued 2014-09-01
dc.identifier.other 416531563 de_DE
dc.identifier.uri http://hdl.handle.net/10900/57464
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-dspace-574646 de_DE
dc.description.abstract What determines the risk structure of financial portfolios of German households? In this paper we estimate the determinants of the share of financial wealth invested in three broad risk classes. We employ a new econometric approach - the so called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional nature. We extend the model to allow for unobserved heterogeneity across households via maximum simulated likelihood. We find that self-assessed appetite for risk as well as the level of wealth have strong positive effects on the riskiness of the average household’s portfolio. These findings largely stay true even after we control for the potential confounding effects of unobserved differences across households via correlated random effects. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Panelanalyse de_DE
dc.subject.ddc 330 de_DE
dc.subject.other household finance en
dc.subject.other portfolio composition en
dc.subject.other non-linear panel data model en
dc.subject.other unbeobachtete Heterogenität de_DE
dc.subject.other fractional response model en
dc.subject.other unobserved heterogeneity en
dc.title The Portfolio Structure of German Households: A Multinomial Fractional Response Approach with unobserved Heterogeneity en
dc.type Aufsatz de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
utue.publikation.source University of Tübingen Working Papers in Economics and Finance ; No. 74 de_DE

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