Who chooses to self-manage their investments, and why?

We design an experiment to model the decision to self-manage or delegate an investment task. Participants both construct a self-chosen portfolio and choose between it and a delegated alternative. We find that simply asking participants to construct the self-chosen portfolio first makes them 20 percentage points more likely to prefer that portfolio. The composition of the delegated portfolio has no effect upon this preference, while less trusting and more risk tolerant participants are more likely to prefer their self-chosen portfolio. Finally, participants who prefer to invest in their self-chosen portfolio allocate a larger share of that portfolio to domestic equities.