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

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Author Info
Stephen Satchell
Wei Xia (Department of Economics, Mathematics & Statistics, Birkbeck)
Abstract

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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File URL: http://www.ems.bbk.ac.uk/research/wp/PDF/BWPEF0509.pdf
File Format: application/pdf
File Function: First version, 2005
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Publisher Info
Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0509.

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Date of creation: Jun 2005
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Handle: RePEc:bbk:bbkefp:0509

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Related research
Keywords: LA Utility Function; Non-linear Regression; LAD; UK pension fund;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. A. Berkelaar & R. Kouwenberg, 2000. "From boom til bust," Econometric Institute Report 196, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  2. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany. [Downloadable!]
  3. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October. [Downloadable!] (restricted)
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