Jouini, Elyès; Napp, Clotilde - HAL - 2007
may be applied to several other situations in which agents have to choose the optimal exposure to a risk (choice of an …. overconfidence) as well as pessimism (resp. doubt) both emerge as optimal beliefs. Furthermore, we obtain a positive correlation … between pessimism (resp. doubt) and risk-tolerance. The consensus belief is pessimistic and, as a consequence, the risk …