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

Stephen Satchell and Wei Xia
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Wei Xia: Department of Economics, Mathematics & Statistics, Birkbeck

No 509, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

Keywords: LA Utility Function; Non-linear Regression; LAD; UK pension fund (search for similar items in EconPapers)
Date: 2005-06
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https://eprints.bbk.ac.uk/id/eprint/27036 First version, 2005 (application/pdf)

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