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

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  • Stephen Satchell
  • Wei Xia

    (Department of Economics, Mathematics & Statistics, Birkbeck)

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    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.bbk.ac.uk/ems/research/wp/PDF/BWPEF0509.pdf
    File Function: First version, 2005
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    Bibliographic 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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    1. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
    2. Berkelaar, Arjan & Kouwenberg, Roy, 2009. "From boom 'til bust: How loss aversion affects asset prices," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1005-1013, June.
    3. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany.
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