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....

A general framework for analysing trading rules is presented. We discuss different return concepts and different statistical processes for returns. We then concentrate on moving average trading rules and show, in the case of moving average models of length two, closed form expressions for the...

A new framework is provided for identifying market timing. The analysis focuses on the local joint history of the hedge fund with the benchmark. The approach is fully nonparametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test...

This paper evaluates the double gamma distribution as a means of modelling asymmetry in the conditional distribution of financial data. To do this the model is applied to ten exchange rate series covering mature and emerging market countries. A second contribution of this paper is to highlight...

In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...

The purpose of this paper is to examine the exact properties of Sharpe's ratio when prices are log-normal. Depending on the definition of returns, different expressions are formed for unbiased estimators of Sharpe's ratio.