Determinantes da alocação de portfólio dos investidores brasileiros: Uma análise empírica com dados de fundos de investimentos

The canonical model of financial decision argues that the wealth allocation between the risk free asset and the tangent portfolio of risky assets depends only on the degree of risk aversion of the investor. However, recent theoretical advances support the influence of a broader set of demographic and socioeconomic characteristics of the investors on their financial decisions throughout the life cycle. From this premise, this paper empirically investigates the relevance of the heterogeneity in Brazilian investors for the wealth allocation among different classes of financial assets. To this end, the work makes use of a database with disaggragated information at the investor level to estimate the effects of variables such as age, sex, occupation, marital status and total wealth on the allocation of financial wealth between stock funds and fixed income funds, which differ mainly in the degree of exposure to market risk. The results obtained under normal market conditions are consistent with the argument that the portfolio allocation is influenced by the presence of human capital and the moments of the labor income distribution.The canonical model of financial decision argues that the wealth allocation between the risk free asset and the tangent portfolio of risky assets depends only on the degree of risk aversion of the investor. However, recent theoretical advances support the influence of a broader set of demographic and socioeconomic characteristics of the investors on their financial decisions throughout the life cycle. From this premise, this paper empirically investigates the relevance of the heterogeneity in Brazilian investors for the wealth allocation among different classes of financial assets. To this end, the work makes use of a database with disaggragated information at the investor level to estimate the effects of variables such as age, sex, occupation, marital status and total wealth on the allocation of financial wealth between stock funds and fixed income funds, which differ mainly in the degree of exposure to market risk. The results obtained under normal market conditions are consistent with the argument that the portfolio allocation is influenced by the presence of human capital and the moments of the labor income distribution.