How risk averse are fund managers? Evidence from Irish mutual funds

Thomas Flavin

Applied Financial Economics, 2006, vol. 16, issue 18, 1355-1363

Abstract: Employing a mean-variance framework and a multivariate GARCH model, the degree of risk aversion exhibited by Irish fund managers is estimated. Managers whose remit is 'aggressive' or 'balanced' management of their portfolios have coefficients lying between 1.69-2.42 and 3.24-3.69 respectively.

Date: 2006
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DOI: 10.1080/09603100600592760

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