Are risk-averse agents more optimistic? A Bayesian estimation approach

Selima Ben Mansour, Elyès Jouini (), Jean-Michel Marin, Clotilde Napp and Christian Robert
Additional contact information
Selima Ben Mansour: DRM, UMR-CNRS 7088, Université Paris-Dauphine, France, Postal: DRM, UMR-CNRS 7088, Université Paris-Dauphine, France
Jean-Michel Marin: INRIA Saclay, Projet SELECT , Laboratoire de Mathématiques, Université Paris-Sud, France, Postal: INRIA Saclay, Projet SELECT , Laboratoire de Mathématiques, Université Paris-Sud, France
Christian Robert: CEREMADE, UMR-CNRS 7534, Université Paris-Dauphine, France, Postal: CEREMADE, UMR-CNRS 7534, Université Paris-Dauphine, France

Journal of Applied Econometrics, 2008, vol. 23, issue 6, 843-860

Abstract: 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 © 2008 John Wiley & Sons, Ltd.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.1027 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2008-v23.6/ Supporting data files and programs (text/html)

Related works:
Working Paper: Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach (2008)
Working Paper: Are risk averse agents more optimistic? A Bayesian estimation approach (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:23:y:2008:i:6:p:843-860

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.1027

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().