On Abel's concept of doubt and pessimism

DOI10.1016/j.jedc.2008.03.001zbMath1181.91099OpenAlexW2140526720MaRDI 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

doubtstochastic dominancemonotone likelihood ratiorisk premiumoptimismmarket price of riskpessimismriskinessportfolio dominance

Mathematics Subject Classification ID

Related Items (6)

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

Cites Work

• Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
• The comparative statics of cumulative distribution function changes for the class of risk averse agents
• Comparative statics under uncertainty for a class of economic agents
• An exploration of the effects of pessimism and doubt on asset returns.
• The comparative statics of changes in risk revisited
• Demand for risky financial assets: A portfolio analysis
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• A Note on Portfolio Dominance
• Mean-preserving Portfolio Dominance

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