Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
Abstract : We analyse the link between optimism and risk aversion in a model with endogeneous beliefs formation. We consider a model of partially revealing, competitive rational expectations equilibrium with diverse information, in which the distribution of risk aversion across individuals is unknown. We show that when a high individual level of risk-aversion is taken as a signal for a high average level of risk aversion, more risk averse agents are more optimistic. Such a positive correlation is important for the analysis of collective decision making as shown by Jouini and Napp (2007).
Are risk averse agents more optimistic? Insights from a rational expectations model
JOUINI Elyès, NAPP Clotilde
Université de PARIS - DAUPHINE
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