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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorNapp, Clotilde
HAL ID: 741006
ORCID: 0000-0002-7008-5949
dc.date.accessioned2008-10-07T17:34:40Z
dc.date.available2008-10-07T17:34:40Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/29
dc.descriptionLe fichier attaché est également édité dans les Cahiers de la Chaire "Les Particuliers face aux Risques" de l'Institut de Finance de Dauphine, cahier n°15, novembre 2007
dc.language.isoenen
dc.subjectRational expectationsen
dc.subjectRisk Premiumen
dc.subjectOptimismen
dc.subjectRisk-aversionen
dc.subjectHeterogeneous beliefsen
dc.subject.ddc332en
dc.subject.classificationjelG12
dc.subject.classificationjelD53
dc.subject.classificationjelD82
dc.titleAre More Risk-Averse Agents More Optimistic ? Insights from a Rational Expectations Modelen
dc.typeArticle accepté pour publication ou publiéen
dc.description.abstractenWe analyze the link between pessimism and risk-aversion. We consider a model of partially revealing, competitive rational expectations equilibrium with diverse information, in which the distribution of risk-aversion across individuals is unknown. We show that when a high individual level of risk-aversion is taken as a signal for a high average level of risk-aversion, more risk-averse agents are more optimistic. This correlation between individual risk-aversion and optimism leads to a pessimistic consensus belief hence to an increase in the market price of risk. Risk-sharing schemes and welfare implications are analyzed. We show that agents' welfare may increase upon the receipt of more precise information.en
dc.relation.isversionofjnlnameEconomics Lettersen
dc.relation.isversionofjnlvol101en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2008-10en
dc.relation.isversionofjnlpages73-76en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.econlet.2008.06.002en
dc.relation.isversionofjnlpublisherElsevier Science Publishersen
dc.subject.ddclabelEconomie financière


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