Are more risk averse agents more optimistic? Insights from a rational expectations model

DOI10.1016/J.ECONLET.2008.06.002MaRDI QIDQ1934906zbMATH OpenOpenAlexFDO

Authors Clotilde Napp, Elyès Jouini

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://basepub.dauphine.fr/handle/123456789/29

zbMATH Keywords

heterogenous beliefsoptimismrational expectationsrisk aversion

Mathematics Subject Classification ID

Group preferences (91B10) Heterogeneous agent models (91B69)

Recommendations

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Cites work

• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• An exploration of the effects of pessimism and doubt on asset returns.
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• Estimating risk attitudes using lotteries: a large sample approach
• Informed Speculation with Imperfect Competition
• On the aggregation of information in competitive markets

Cited in

(2)

• Bayesian optimism
• Disagreement, correlation and asset prices

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