Job Market Paper

Portfolio choice with heterogeneous risks

Wealthier individuals tend to allocate a higher percentage of their wealth to equity, a pattern that standard life cycle portfolio choice models cannot explain without decreasing relative risk aversion (DRRA) preferences. While DRRA preferences align with observed data, evidence from long-run consumption and risk premia suggests that relative risk aversion should not depend on wealth. I propose an alternative explanation: wealthier individuals benefit from higher Sharpe ratios due to reduced risk through more effective diversification and more accurate return estimates, and are subject to lower per-period portfolio monitoring costs. By incorporating these factors into a quantitative life-cycle model, I show how these changes bring the model closer to explaining the portfolio allocation choices of wealthier households. PDF

Publication

Price, information and product quality: Explaining index insurance demand in Burkina Faso

with Quentin Stoeffler, Food Policy, 2022 PDF

Work in progress

Portfolio choice with heterogeneous risks and emerging markets

Preference for wealth: portfolio choice of wealthy and upper-middle class