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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Econometric Institute Research Papers
EI 2000-21/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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.
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