Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : In this paper, we introduce new concepts of pessimism and doubt that are well suited to the study of the impact of a subjective probability belief on the equilibrium market price of risk, as considered by Abel (2002). Keywords : pessimism, optimism, doubt, stochastic dominance, risk premium, riskiness, risk aversion, market price of risk JEL numbers : D81, G11
 
 
On Abel's concept of doubt and pessimism
JOUINI Elyès, NAPP Clotilde
2005-25
20-05-2005
 
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