Show simple item record

dc.contributor.authorJouini, Elyès*
dc.contributor.authorBen Mansour, Selima*
dc.contributor.authorNapp, Clotilde*
dc.contributor.authorMarin, Jean-Michel*
dc.contributor.authorRobert, Christian P.*
dc.date.accessioned2009-10-26T14:45:50Z
dc.date.available2009-10-26T14:45:50Z
dc.date.issued2008
dc.identifier.issn0883-7252
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2324
dc.language.isoenen
dc.subjectMCMC Scheme
dc.subjectBayesian Estimation
dc.subjectRisk Aversion
dc.subjectPessimism
dc.subjectRisk Tolerance
dc.subjectImportance Sampling
dc.subjectConsensus Belief
dc.subject.ddc332en
dc.subject.classificationjelD53en
dc.subject.classificationjelG12en
dc.subject.classificationjelC11en
dc.titleAre Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenOur aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non-trivial statistical problem. We start from a large lottery survey (1536 individuals). We assume that individuals have true unobservable characteristics. We adopt a Bayesian approach and use a hybrid MCMC approximation method to numerically estimate the distributions of the unobservable characteristics. We find that individuals are on average pessimistic and that pessimism and risk tolerance are positively correlated.
dc.relation.isversionofjnlnameJournal of Applied Econometrics
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages843-860
dc.relation.isversionofdoihttp://dx.doi.org/10.1002/jae.1027
dc.identifier.urlsitehttps://halshs.archives-ouvertes.fr/halshs-00163678
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-11T13:44:46Z
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record