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2005•BIROn (Birkbeck, University of London)Open access

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

Stephen Satchell, Wei Xia

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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.

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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.

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Available 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.

Key concepts: Pension, Pension fund, Risk aversion (psychology), Asset allocation, Asset (computer security), Target date fund, Actuarial science, Economics

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