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So, what is it?

Lesser ability [1], risk aversion and intolerance (on the part of women) are distinct possibilities. There is quite a bit of evidence supporting each of them. See both my comment and keithflower's reply, which presents additional evidence in favor.

http://news.ycombinator.com/item?id=3452963

[1] I'm pushing the Larry Summers' hypothesis of higher variance here, not an unequal mean theory.



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