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Centre de Recherche en Économie et Statistique |  |
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Centre de Recherche en Économie et Statistique | |
| HAL: halshs-00163678, version 1 |
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| Are risk averse agents more optimistic? A Bayesian estimation approach |
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| Selima Benmansour 1Elyès Jouini 2 |
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| (2007-07-17) |
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| Our 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.This quantity is of particular importance since it characterizes the consensus belief in risk-taking situations with heterogeneous beliefs. Its estimation leads to a nontrivial statistical problem. We start from a large lottery survey (1536 individuals). We assume that individuals have true unobservable characteristics and that their answers in the survey are noisy realizations of these characteristics. We adopt a Bayesian approach for the statistical analysis of this problem and use an hybrid MCMC approximation method to numerically estimate the distributions of the unobservable characteristics. We obtain that individuals are on average pessimistic and that pessimism and risk tolerance are positively correlated. As a consequence, we conclude that the consensus belief is biased towards pessimism. |
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| 1: | Dauphine Recherches en Management (DRM) |
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CNRS : UMR7088 – Université Paris IX - Paris Dauphine |
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| 2: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| 3: | Centre de Recherche en Économie et Statistique (CREST) |
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INSEE – École Nationale de la Statistique et de l'Administration Économique |
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| 4: | A3 (INRIA Futurs) |
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INRIA – Université Paris XI - Paris Sud |
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| Subject | : | Humanities and Social Sciences/Economies and finances Humanities and Social Sciences/Methods and statistics Humanities and Social Sciences/Business administration Humanities and Social Sciences/Psychology Humanities and Social Sciences/Gender studies |
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| Bayesian estimation – MCMC scheme – importance sampling – pessimism – risk tolerance – risk aversion – consensus belief. |
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| Attached file list to this document: | |||||
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| halshs-00163678, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00163678 | |
| oai:halshs.archives-ouvertes.fr:halshs-00163678 | |
| From: Selima Benmansour | |
| Submitted on: Tuesday, 17 July 2007 23:56:51 | |
| Updated on: Wednesday, 18 July 2007 10:06:56 | |
