ARE RISK-AVERSE AGENTS MORE OPTIMISTIC? A BAYESTAN ESTIMATION APPROACH

被引：7

作者：

Ben Mansour, Selima ^{[2
]}

Jouini, Elyes ^{[1
]}

Marin, Jean-Michel ^{[3
]}

Napp, Clotilde ^{[2
]}

Robert, Christian ^{[1
]}

机构：

[1] Univ Paris 09, CEREMADE, CNRS, UMR 7534, F-75775 Paris, France

[2] Univ Paris 09, CNRS, UMR 7088, DRM, F-75775 Paris, France

[3] Univ Paris 11, Math Lab, Projet SELECT, INRIA Saclay, Paris, France

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2008年 / 23卷 / 06期

关键词：

D O I：

10.1002/jae.1027

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. 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. Copyright (C) 2008 John Wiley & Sons, Ltd.

引用

页码：843 / 860

页数：18

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