Mansour, Selima Ben; Jouini, Elyès; Marin, Jean-Michel; … - In: Journal of Applied Econometrics 23 (2008) 6, pp. 843-860
Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non-trivial statistical problem. We start from a large lottery survey (1536...