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Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs

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  • Gollier, Christian

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Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 201.

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Date of creation: 2003
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Publication status: Published in Journal of Risk and Uncertainty, vol.�35, n°2, octobre 2007, p.�107-127.
Handle: RePEc:ide:wpaper:605

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  1. Andrew B. Abel, 2001. "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," NBER Working Papers 8132, National Bureau of Economic Research, Inc.
  2. Gollier, Christian, 2003. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 250, Institut d'Économie Industrielle (IDEI), Toulouse.
  3. Mongin, P., . "Consistent Bayesian aggregation," CORE Discussion Papers RP -1176, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, December.
  5. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University 323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  6. Miles S. Kimball, 1989. "Precautionary Saving in the Small and in the Large," NBER Working Papers 2848, National Bureau of Economic Research, Inc.
  7. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
  8. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
  9. Itzhak Gilboa & Dov Samet & David Schmeidler, 2004. "Utilitarian Aggregation of Beliefs and Tastes," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 112(4), pages 932-938, August.
  10. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  11. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers, University of California at Berkeley 95, University of California at Berkeley.
  12. Hylland, Aanund & Zeckhauser, Richard J, 1979. "The Impossibility of Bayesian Group Decision Making with Separate Aggregation of Beliefs and Values," Econometrica, Econometric Society, Econometric Society, vol. 47(6), pages 1321-36, November.
  13. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(3), pages 225-244, September.
  14. Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2001. "Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets," Working Papers, Centre de Recherche en Economie et Statistique 2001-01, Centre de Recherche en Economie et Statistique.
  15. Gollier Christian, 1995. "The Comparative Statics of Changes in Risk Revisited," Journal of Economic Theory, Elsevier, vol. 66(2), pages 522-535, August.
  16. Athey, Susan, 2002. "Monotone Comparative Statics Under Uncertainty," Scholarly Articles 3372263, Harvard University Department of Economics.
  17. Susan Athey, 2002. "Monotone Comparative Statics Under Uncertainty," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 117(1), pages 187-223, February.
  18. Constantinides, George M, 1982. "Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation," The Journal of Business, University of Chicago Press, vol. 55(2), pages 253-67, April.
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Cited by:
  1. Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5367, C.E.P.R. Discussion Papers.
  2. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(7), pages 1233-1260, July.

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