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    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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    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 Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 05 Apr 2019 08:22
    Last Modified: 02 Aug 2019 03:13
    URI: http://eprints.bbk.ac.uk/id/eprint/27036

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