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 (see Abel, A., 2002. An exploration of the effects of pessimism and doubt on asset returns. Journal of Economic Dynamics and Control, 26, 1075-1092).
 
 
On Abel s concepts of doubt and pessimism
JOUINI Elyès, NAPP Clotilde
2007-38
12-07-2007
 
Université de PARIS - DAUPHINE
Place du Maréchal de Lattre De Tassigny - 75775 PARIS CEDEX 16 - FRANCE
Téléphone : +33 (0)1 44-05-49-23 - fax : +33 (0)1 44-05-45-99