We introduce a measure to quantify shared information within household financial portfolios under extreme events. We employ mutual information and copula entropy to capture tail dependencies among investment assets. We then study the impact of socio-economic factors on proactive financial behaviors using data from the 2022 Survey of Consumer Finances and highlight the necessity for tail-informed diversification strategies. Our findings underscore the importance of accounting for nonlinear dependencies to safeguard against unanticipated risks in extreme market scenarios.

中文翻译：

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家庭金融的尾部风险


我们引入了一种量化极端事件下家庭金融投资组合内共享信息的措施。我们采用互信息和 copula 熵来捕获投资资产之间的尾部依赖关系。然后，我们使用 2022 年消费者财务调查的数据研究社会经济因素对主动财务行为的影响，并强调了尾部知情多元化战略的必要性。我们的研究结果强调了考虑非线性依赖关系的重要性，以便在极端市场情景中防范意外风险。