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    How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds

    Flavin, Thomas (2006) How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds. UNSPECIFIED. (Unpublished)

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    This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mean-variance optimising manager, we employ the dynamic conditional correlation specification (Engle, 2002) of the multivariate GARCH model to estimate the coefficient of relative risk aversion. We find that fund managers whose remit is to 'aggressively' manage their portfolios have coefficients lying between 1.69 and 2.42, while the risk aversion parameter of 'balanced' managed funds range from 3.24 to 3.69. Finally we discuss the implications of these numbers on the likelihood of these managers partaking in risky investments.

    Item Type: Other
    Additional Information: Department of Economics Working Paper Series N163/02/06
    Keywords: Risk aversion; Fund managers; Dynamic conditional correlations. JEL Classification: G11, G15, C32, G20.
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 278
    Depositing User: Thomas Flavin
    Date Deposited: 16 Mar 2006
    Refereed: No
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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