Are risk-averse agents more optimistic?
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Selima Ben Mansour; Elyès Jouini; Jean-Michel Marin; Clotilde Napp; Christian Ro
📂
Article
📅
2008
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John Wiley and Sons
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English
⚖ 344 KB
## 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