文档介绍：Revised September 2004
Heterogeneity and Portfolio Choice: Theory and Evidence
Stephanie Curcuru1
John Heaton2
Deborah Lucas3
Damien Moore4
Abstract
In this paper, we summarize and add to the evidence on the large and systematic differences in portfolio
composition across individuals with varying characteristics, and evaluate some of the theories that have been
proposed in terms of their ability to account for these differences. Variation in background risk exposure --
from sources such as labor and entrepreneurial e or real estate holdings, and from factors such as
transactions costs, borrowing constraints, restricted pension investments and life cycle considerations – can
explain some but not all aspects of the observed cross-sectional variation in portfolio holdings in a traditional
utility maximizing framework. In particular, fixed costs and life cycle considerations appear necessary to
explain the lack of stock market participation by young and less affluent households. Remaining challenges
for quantitative theories include the apparent lack of diversification in some unconstrained individual
portfolios, and non-participation in the stock market by some households with significant financial wealth.
School of Business, University of Chicago
School of Business, University of Chicago and NBER
University Kellogg School of Management and the NBER
4. University of Sydney
Prepared for the Handbook of Financial Econometrics.
1. Introduction
Data on households’ financial behavior points to considerable heterogeneity in portfolio allocations.
The majority of households hold mon stock nor other risky financial securities. Others invest in
stocks almost exclusively. The extent to which risky asset holdings are diversified also varies greatly ,
ranging from exclusive reliance on diversified index funds to holding