Are Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach
Jouini, Elyès; Ben Mansour, Selima; Napp, Clotilde; Marin, Jean-Michel; Robert, Christian P. (2008), Are Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach, Journal of Applied Econometrics, 23, 6, p. 843-860. http://dx.doi.org/10.1002/jae.1027
TypeArticle accepté pour publication ou publié
External document linkhttps://halshs.archives-ouvertes.fr/halshs-00163678
Journal nameJournal of Applied Econometrics
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Abstract (EN)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.
Subjects / KeywordsMCMC Scheme; Bayesian Estimation; Risk Aversion; Pessimism; Risk Tolerance; Importance Sampling; Consensus Belief
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