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Are more risk averse agents more optimistic? Insights from a rational expectations model

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  • Jouini, Elyès
  • Napp, Clotilde

Abstract

We analyse a model of partially revealing, rational expectations equilibrium with diverse information, endogenous beliefs formation and uncertain distribution of risk aversion. More risk averse agents are then more optimistic. Such a positive correlation is important for collective decision analysis.

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  • Jouini, Elyès & Napp, Clotilde, 2008. "Are more risk averse agents more optimistic? Insights from a rational expectations model," Economics Letters, Elsevier, vol. 101(1), pages 73-76, October.
    • Handle: RePEc:eee:ecolet:v:101:y:2008:i:1:p:73-76
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    References listed on IDEAS

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    1. Selima Ben Mansour & Elyès Jouini & Jean-Michel Marin & Clotilde Napp & Christian Robert, 2008. "Are risk-averse agents more optimistic? A Bayesian estimation approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 843-860.
    2. Elyès Jouini & Clotilde Napp, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1149-1174.
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    6. Anindya Chakrabarty & Anupam De & Gautam Bandyopadhyay, 2016. "Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS," International Journal of Business Excellence, Inderscience Enterprises Ltd, vol. 9(1), pages 18-47.

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