Are risk‐averse agents more optimistic? A Bayesian estimation approach
在主观期望效用框架下分析乐观与风险厌恶的关系，基于1536人的彩票调查数据，采用贝叶斯混合MCMC方法估计不可观测特征，发现平均而言人们是悲观的，且悲观与风险承受力正相关。
Abstract 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 individuals). We assume that individuals have true unobservable characteristics. We adopt a Bayesian approach and use a hybrid MCMC approximation method to numerically estimate the distributions of the unobservable characteristics. We find that individuals are on average pessimistic and that pessimism and risk tolerance are positively correlated. Copyright © 2008 John Wiley & Sons, Ltd.