Household Portfolio Diversification: A Case for Rank-Dependent Preferences

By Valery Polkovnichenko. 2005

411 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/7a55fc1f82603d7d5f60a05b4275cd5f6ec157ad

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

Citations in the corpus

Just How Much Do Individual Investors Lose by Trading (2007, background): “By comparison, less wealthy investors in the United States tend to have a somewhat lower proportion of their assets invested in equities than do wealthier investors (Polkovnichenko, 2005).”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “first-order risk aversion (Segal and Spivak (1990)), but it is axiomatically founded.”
Equity Portfolio Diversification (2001, methodology): “, technology stocks), or they might prefer stocks with higher variance and positive skewness (e.g., Simkowitz and Beedles, 1978; Golec and Tamarkin, 1998; Polkovnichenko, 2005; Barberis and Huang, 2007).”
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, neutral): “…Mitton and Vorkink, 2007; Barberis and Huang, 2008), employees’ loyalty toward the company where they work (Cohen, 2009), rank-dependent preferences (Polkovnichenko, 2005), the desire of investors to construct portfolios in “layers” in order to obtain downside protection and upside potential…”
Preferred Risk Habitat of Individual Investors (2010, positive): “Polkovnichenko (2005), however, using recent waves of the US Survey of Consumer Finances, reports that many US households who participate in the stock market hold only a handful of names even though mutual funds offer cheap diversification and are widely available.”
How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies (2014, background): “Second, many households own relatively few individual stocks, which may cause a significant exposure to idiosyncratic risk (e.g., Goetzmann and Kumar, 2008; Polkovnichenko, 2005).”
Psychology-based Models of Asset Prices and Trading Volume (2018, methodology): “(34) As with disappointment aversion, this specification has been used to think about the equity premium and non-participation in the stock market, but also about the concentrated positions some individuals have in skewed assets (Epstein and Zin, 1990; Polkovnichenko, 2005).”