Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a ‘flight from risk’ from riskier to safer assets.

中文翻译：

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家庭投资组合分配、不确定性和风险

通过分析收入动态面板研究和健康与退休研究，我们调查了美国家庭在面临背景风险时降低其财务风险的程度。我们新颖的建模方法（称为紧缩有序分数模型）量化了具有三个资产类别的家庭投资组合的整体构成如何随着背景风险进行调整，并且在为任何给定的风险资产类别恢复重新分配给每个更安全资产的份额方面是独一无二的类别。背景风险对家庭投资组合产生重大影响，导致“逃离风险”从风险较高的资产转向较安全的资产。