A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor
Life & Pensions, pp. 34-40, December 2006
7 Pages Posted: 8 Mar 2007
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 than they are usually credited with.
Keywords: LA Utility Function, Non-linear Regression, LAD, UK pension fund
JEL Classification: C13, G11, G23
Suggested Citation: Suggested Citation