Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2008
We analyze the link between pessimism and risk-aversion. 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 …