A matter of attitude
In this paper, the authors use UK pension funds asset allocation information to model the risk attitude of the representative pension investor. They find that UK pension funds display risk aversion with respect to gains and losses
Introduction
The concept of loss aversion, that is, a greater tendency to avoid losses than to seek gains, was introduced into prospect theory in the form of an loss aversion utility function by Kahneman and Tversky (KT) (1979, 1992).
Analysis of the properties of the loss aversion (LA) utility function has attracted the attention of many scholars. Inter alia, Barberis, Huang and Santos (2001) addressed the asset allocation problem for a loss averse investor in a one period world; Berkelaar and
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