On Abel's concept of doubt and pessimism

DOI10.1016/j.jedc.2008.03.001zbMath1181.91099MaRDI QIDQ2654420

Clotilde Napp, Elyès Jouini

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00176611v2/file/Abel.pdf

zbMATH Keywords

doubt; stochastic dominance; monotone likelihood ratio; risk premium; optimism; market price of risk; pessimism; riskiness; portfolio dominance

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Behavioral biases and the representative agent, Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt, Investor heterogeneity, asset pricing and volatility dynamics, Cross-sectional asset pricing with heterogeneous preferences and beliefs, Biased Bayesian learning with an application to the risk-free rate puzzle, Collective risk aversion

Cites Work

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