Estimation of the Risk Attitude of the Representative UK Pension Fund Investor

The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses. Such a finding suggests a greater degree of responsibility by UK pension funds that they are usually credited with.

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Year of publication:	2005-06
Authors:	Satchell, Stephen ; Xia, Wei
Institutions:	Birkbeck, Department of Economics, Mathematics & Statistics
Subject:	LA Utility Function \| Non-linear Regression \| LAD \| UK pension fund

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Extent:	application/pdf
Series:	Birkbeck Working Papers in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0509
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005509621