Imputing Risk Tolerance From Survey Responses.

TitleImputing Risk Tolerance From Survey Responses.
Publication TypeJournal Article
Year of Publication2008
AuthorsKimball, MS, Sahm, CR, Shapiro, MD
JournalJ Am Stat Assoc
Volume103
Issue483
Pagination1028-1038
Date Published2008 Sep 01
ISSN Number0162-1459
Call Numbernewpubs20081205_Kimball_etal.pdf
Abstract

Economic theory assigns a central role to risk preferences. This article develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this article shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The article also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households.
DOI10.1198/016214508000000139
User Guide Notes

http://www.ncbi.nlm.nih.gov/pubmed/20407599?dopt=Abstract
Endnote Keywords

Risk Behavior/Measurement
Endnote ID

19560
Alternate JournalJ Am Stat Assoc
Citation Key7257
PubMed ID20407599
PubMed Central IDPMC2856097
Grant ListP01 AG026571 / AG / NIA NIH HHS / United States
P01 AG010179-05 / AG / NIA NIH HHS / United States
R24 HD041028 / HD / NICHD NIH HHS / United States
R01 AG020638-05 / AG / NIA NIH HHS / United States
R01 AG020638 / AG / NIA NIH HHS / United States