Estimation of the risk attitude of the representative UK pension fund investor
Satchell, Stephen and Xia, W. (2005) Estimation of the risk attitude of the representative UK pension fund investor. Working Paper. Birkbeck, University of London, London, UK.
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Official URL: http://www.bbk.ac.uk/ems/research/wp
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.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0509 |
| Keyword(s) / Subject(s): | LA Utility Function, Non-linear Regression, LAD, UK pension fund |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 05 Apr 2019 08:22 |
| Last Modified: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/27036 |
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