(rep. doubt) and risk-tolerance. We analyse the equilibrium characteristics. Under reasonable assumptions, the consensus … belief is pessimistic and, as a consequence, the risk premium is higher than in a standard setting. …

An article about Kihlstrom and Mirman about comparative risk aversion with many goods is critiqued. If "more risk … averse" is interpreted as signifying that an individual is less willing to accept a median-preserving spread, then risk … individual has a greater directional risk premium, then risk aversion may be compared across individuals with different …

between pessimism (resp. doubt) and risk-tolerance. Under reasonable assumptions, beliefs exhibit a pessimistic bias and, as a … consequence, the risk premium is higher than in a standard setting. …

correlation between pessimism (respectively doubt) and risk tolerance. Under reasonable assumptions, beliefs exhibit a pessimistic … bias and, as a consequence, the risk premium is higher than in a standard setting. …

. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact …

"subjective" risk for "objective" risk à la Rothschild and Stiglitz (1970). A weakened independence axiom may them be set over … opposite to a convex measure of risk (Föllmer and Schied 2002). It may be viewed as a theoretical justification for choosing … this measure of risk. …

Although it is endowed with many interesting properties, the theory of decision-making under risk by Loomes and Sugden … are risk averse or risk prone, (b) risk is defined in a consistent way with risk aversion, (c) the functional is but the … opposite to a convex measure of risk (Föllmer ans Schied [2002]) when constant marginal utility is assumed and (d) violations …

setting, and it is consistent with the interpretation ofbeliefs heterogeneity as a source of risk.We then use our construction … to rewrite in a simple way the equilibrium characteristics (market price of risk, risk premium, risk-free rate) in a … construct specific parametrizations of the heterogeneous beliefs model that lead to globally higher risk premia and lower risk …

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We … establish that Abel's result on the impact of doubt on the risk premium is not correct (see Abel, A., 2002. An exploration of … introduce, on the set of subjective probability beliefs, market price of risk dominance concepts and we relate them to well …

model the 3 and 12-month ahead ex-ante risk premia, measured as the difference between the expected and forward exchange … horizon-dependent and this is a sufficient condition for agents not to require at any time a risk premium but a set of premia …