How risk averse are fund managers? Evidence from Irish mutual funds
AbstractEmploying 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 InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 16 (2006)
Issue (Month): 18 ()
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Web page: http://www.tandfonline.com/RAFE20
Other versions of this item:
- Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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