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

See all articles by Stephen E. Satchell

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics

Wei Xia

University of International Business and Economics, China; BlackCat Capital Partners LLP; University of London - Birkbeck College - School of Economics, Mathematics and 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 than they are usually credited with.

Keywords: LA Utility Function, Non-linear Regression, LAD, UK pension fund

JEL Classification: C13, G11, G23

Suggested Citation

Satchell, Stephen E. and Xia, Wei, A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor. Life & Pensions, pp. 34-40, December 2006. Available at SSRN: https://ssrn.com/abstract=968380

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics ( email )

Austin Robinson Building
Sidgwick Avenue
Cambridge, CB3 9DD
United Kingdom
44 (0)1223 335213 (Phone)
44 (0)1223 335475 (Fax)

HOME PAGE: http://www.econ.cam.ac.uk/faculty/satchell/index.h

Wei Xia (Contact Author)

University of International Business and Economics, China ( email )

10 East Huixin Street
Chaouang District
Beijing, 100029
China

BlackCat Capital Partners LLP ( email )

London
United Kingdom

University of London - Birkbeck College - School of Economics, Mathematics and Statistics ( email )

Malet Street
London, WC1E 7HX
United Kingdom

HOME PAGE: http://www.ems.bbk.ac.uk/faculty/phdStudents/xia/index_html

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