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- W1995171839 abstract "In this paper, we estimate a model of portfolio behaviour which extends the standard mean-variance model in three important ways. Firstly, we generalize the mean-variance utility function to allow the marginal rate of substitution between mean and variance to depend on asset holdings; this renders the model non-linear in assets. Secondly, we model expectations and risks in an explicitly dynamic and forward-looking manner. Thirdly, we model the dynamic adjustment of the portfolio in terms of an error correction mechanism. The model is estimated on the portfolios of UK private sector pension funds. Amongst the main findings are that a constant marginal rate of substitution between mean and variance is rejected; time-varying expectations are important for determining portfolio behaviour but time-varying risks are not; and the error correction mechanism is important for explaining the dynamic adjustment of the portfolio." @default.
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- W1995171839 date "1991-06-01" @default.
- W1995171839 modified "2023-09-27" @default.
- W1995171839 title "Testing a non-linear model of portflio behaviour with time-varying expectations and risks: the case of UK private sector persion funds" @default.
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- W1995171839 doi "https://doi.org/10.1080/758531067" @default.
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