On the Determinants of Portfolio Choice

B.P.M. Frijns, E. Koellen, T. Lehnert

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Abstract

This paper jointly analyzes traditional and behavioral concepts in a simple experimental setting which allows for the assessment of the relative importance of each factor and their joint behavior. Various hypotheses are tested in three portfolio choice models. Markowitz [markowitz, h., 1952. Portfolio selection. Journal of finance 7, 77–92] findings are analyzed and extended by behavioral concepts and socio-demographic variables. Models are expressed as conjoint choice models represented by a multinomial logit model. Data is collected in an experimental setting. We show that the level of the risk-free rate, an individual's risk aversion, market sentiment, self-assessed financial expertise, age and gender are determining factors of portfolio choice.
Original languageEnglish
Pages (from-to)373-386
Number of pages14
JournalJournal of Economic Behavior & Organization
Volume66
Issue number2
DOIs
Publication statusPublished - 1 Jan 2008

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