We propose a novel method to estimate loss aversion together with risk aversion and sub-jective probability weighting in a reference-dependent utility. Using multiple asset allo-cations in the 31 OECD pension funds, we find that our estimates of loss aversion and subjective probability weights are similar to those reported by Wang et al. (2017) and Rieger et al. (2015), respectively, despite the differences in the estimation methods. How-ever, loss aversion increases with wealth and only Hofstede’s Individualism is positively related to loss aversion. Countries with high individualism or masculinity prefer high risk and high return assets to bonds, whereas countries that dislike uncertainty prefer bonds to risky assets.

JEL Classification: G11; G12; G15

Keywords: Loss Aversion; Cultural Dimensions; Reference-Dependent Utility; Pension Funds