Ambiguity aversion and household portfolio choice puzzles: Empirical evidence☆
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This paper is part of the National Bureau of Economic Research's Program on the Economics of Aging and the Working Group on Household Portfolios. We gratefully acknowledge support from the Network for Studies on Pensions, Ageing, and Retirement (Netspar Grant Number RG2011.02); the National Institute on Aging, P30 AG-012836-18; the Wharton School's Pension Research Council and Boettner Center for Pensions and Retirement Security; the National Institute of Child Health and Development Population Research Infrastructure Program, R24 HD-044964-9; the American Life Panel teams at the RAND Corporation and University of Southern California; and the Wharton Behavioral Laboratory. For comments we thank Jawad Addoum, Sahil Bajaj, Laurent Calvet, Hector Calvo-Pardo, Andrew Caplin, Carlos Cueva, Nicola Gennaioli, Stefano Giglio, Luigi Guiso, George Korniotis, Debrah Meloso, Nicola Pavoni, Arno Riedl, David Schreindorfer, Noah Stoffman, Stefan Trautmann, Martijn van den Assem, and Peter Wakker. We acknowledge helpful suggestions received at conferences at the American Economic Association, Ambiguity and Robustness in Macroeconomics and Finance, European Economic Association, European Finance Association, European Household Finance, Experimental Finance, Financial Intermediation Research Society, Mitsui Finance Symposium, Netspar Workshop, Society for Financial Studies Cavalcade, and Western Finance Association. Tania Gutsche, Arie Kapteyn, Bart Orriens, and Bas Weerman provided able assistance with the survey, and Yong Yu provided outstanding programming assistance. The content is solely our responsibility and does not necessarily represent the official views of the National Institute of Aging, the National Institutes of Health, or any other institution providing funding for this study or with which we are affiliated.