A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Optimal Portfolio Theory prescribes that investors reduce their exposure to financial market risk as they get near to retirement. To assess the effect of ageing on portfolio choices, we study the case of an Italian defined contribution pension fund during the period 2002-08. We find that on...

Data from the Italian Survey of Households Income and Wealth (SHIW) are used to study portfolio allocations change in response to fluctuations in wealth. In particular I test for the prediction of models with habit formation that changes in liquid wealth will affect households' risk aversion and...

There is growing empirical evidence that risk preferences change based on financial market conditions. This paper explores individual predictors of time varying risk aversion among participants in U.S. defined contribution plans using a unique dataset with daily responses to a risk tolerance...

We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially after the crisis. After considering standard...