Empirical evaluation of the asset-allocation puzzle |
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Authors: | Oussama Chakroun, Georges Dionne,Am lie Dugas-Sampara |
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Affiliation: | aCanada Research Chair in Risk Management, HEC Montréal, 3000, Chemin Cote-Ste-Catherine, Montreal (Qc), Canada H3T 2A7 |
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Abstract: | We examine the portfolio-choice puzzle posed by Canner, Mankiw, and Weil [Canner, N., Mankiw, N.G., Weil, D.N., 1997. An asset allocation puzzle. The American Economic Review 87, 181–191]. From data on the portfolio composition of 470 clients of a brokerage firm, we obtain that the bonds/stocks ratio does decrease in relation to risk tolerance. This result complements the findings of CMW (1997) by focusing on actual allocations of individual portfolios rather than recommended allocations by financial advisors. |
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Keywords: | Asset-allocation puzzle Risk tolerance Bonds/stocks ratio |
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