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How risk averse are fund managers? Evidence from Irish mutual funds

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  • Thomas Flavin

Abstract

Employing a mean-variance framework and a multivariate GARCH model, the degree of risk aversion exhibited by Irish fund managers is estimated. Managers whose remit is 'aggressive' or 'balanced' management of their portfolios have coefficients lying between 1.69-2.42 and 3.24-3.69 respectively.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 18 ()
Pages: 1355-1363

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Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1355-1363

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Cited by:
  1. Conniffe, Denis & O'Neill, Donal, 2012. "An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion," IZA Discussion Papers 6877, Institute for the Study of Labor (IZA).

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