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Household Portfolio Allocation, Uncertainty, and Risk

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Innovation Central Perth - Building 216 Room 204, Level 2

Curtin University, Bentley Campus

Kent St

Bentley, WA 6102

Australia

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Professor Sarah Brown presents: Household Portfolio Allocation, Uncertainty, and Risk

Abstract:

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.

Bio:

Sarah graduated from the University of Hull (1989), gained her MA in Economics at the University of Warwick (1990) and her PhD from the University of Loughborough and was appointed to a lectureship there (1994). She gained promotion to a senior lectureship in 2001 at University of Leicester. In 2005, she accepted a position as Chair in Economics at the University of Sheffield and was Head of Department 2006-2011. She is a director of the Institute for Economic Analysis of Decision-making (InstEAD), a Research Fellow at the IZA (Institute for the Study of Labour, Bonn) and an Associate Fellow at the Sheffield Political Economy Research Institute (SPERI). She has been a member of the Department for Work and Pensions Steering Committee for the Work, Pensions and Labour Economics Study Group (WPEG) since 2001.

Sarah was a member of the Grant Assessment Panel C of the Economic and Social Research Council 2010-2013, member of the Research Excellence Framework 2014, Economics & Econometrics Sub-Panel, member of the Women's Committee of the Royal Economic Society 2010-2015, member of the Steering Group of the Royal Economic Society Conference of Heads of University Departments of Economics 2010-2016 and member of the Royal Economic Society Council 2013-2018.

Sarah's research interests lie in the area of applied microeconometrics focusing on labour economics including wage determination, the economics of education and household finances including financial decision-making and vulnerability over time. In 2012 Sarah was awarded a two-year Leverhulme Trust Major Research Fellowship for a project entitled Household Finances, Intergenerational Attitudes and Social Interaction. Since March 2015, Sarah has been an Independent Member of the Low Pay Commission, which is the independent body that advises the UK government on the National Living Wage and the National Minimum Wage.

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Date and Time

Location

Innovation Central Perth - Building 216 Room 204, Level 2

Curtin University, Bentley Campus

Kent St

Bentley, WA 6102

Australia

View Map

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