Cahiers du CEREMADE 

Unité
Mixte de Recherche du C.N.R.S. N°7534 

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. This quantity is of particular importance since it characterizes the consensus belief in risktaking situations with heterogeneous beliefs. Its estimation leads to a nontrivial statistical problem. We start from a large lottery survey (1536 individuals). We assume that individuals have true unobservable characteristics and that their answers in the survey are noisy realizations of these characteristics. We adopt a Bayesian approach for the statistical
analysis of this problem and use an hybrid MCMC approximation method to numerically estimate the distributions of the unobservable characteristics. We obtain that individuals are on average pessimistic and that pessimism and risk tolerance are positively correlated. As a consequence, we conclude that the consensus belief is biased towards pessimism. 





200716 

26042007 

Université
de PARIS  DAUPHINE Place du Maréchal de Lattre De Tassigny  75775 PARIS CEDEX 16  FRANCE Téléphone : +33 (0)1 44054923  fax : +33 (0)1 44054599 