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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. Miles S. Kimball, 1989. "Precautionary Saving in the Small and in the Large," NBER Working Papers 2848, National Bureau of Economic Research, Inc.
   
   • Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
2. 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.
   
   • Abel, Andrew B., 2002. "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
   • Andrew B. Abel, 2001. "An exploration of the effects of pessimism and doubt on asset returns," Working Papers 01-1, Federal Reserve Bank of Philadelphia.
3. Gollier, Christian, 2003. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," IDEI Working Papers 250, Institut d'Économie Industrielle (IDEI), Toulouse.
   
   • Christian Gollier, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 0(1), pages 4.
4. Mongin Philippe, 1995. "Consistent Bayesian Aggregation," Journal of Economic Theory, Elsevier, vol. 66(2), pages 313-351, August.
   
   • MONGIN, Philippe, 1993. "Consistent Bayesian Aggregation," CORE Discussion Papers 1993019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
5. Leland, Hayne E, 1980. " Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-94, May.
   
   • Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
6. Gilboa, I. & Samet, D. & Schmeidler, D., 2001. "Utilitarian Aggregation of Beliefs and Tastes," Papers 2001-17, Tel Aviv.
   
   • Itzhak Gilboa & Dov Samet & David Schmeidler, 2004. "Utilitarian Aggregation of Beliefs and Tastes," Journal of Political Economy, University of Chicago Press, vol. 112(4), pages 932-938, August.
   • Itzhak Gilboa & Dov Samet & David Schmeidler, 2001. "Utilitarian Aggregation of Beliefs and Tastes," Game Theory and Information 0105001, EconWPA.
7. Susan Athey, 2002. "Monotone Comparative Statics Under Uncertainty," The Quarterly Journal of Economics, MIT Press, vol. 117(1), pages 187-223, February.
8. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
   
   • 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. Hara, C. & Christoph Kuzmics, 2004. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics 0452, Faculty of Economics, University of Cambridge.
   
   • Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
   • Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper 323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
   • Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research.
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. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, vol. 1(3), pages 225-244, September.
12. Hylland, Aanund & Zeckhauser, Richard J, 1979. "The Impossibility of Bayesian Group Decision Making with Separate Aggregation of Beliefs and Values," Econometrica, Econometric Society, vol. 47(6), pages 1321-36, November.
13. Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2001. "Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets," Working Papers 2001-01, Centre de Recherche en Economie et Statistique.
14. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
15. Athey, Susan, 2002. "Monotone Comparative Statics Under Uncertainty," Scholarly Articles 3372263, Harvard University Department of Economics.
16. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249.
17. 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.
18. Gollier Christian, 1995. "The Comparative Statics of Changes in Risk Revisited," Journal of Economic Theory, Elsevier, vol. 66(2), pages 522-535, August.

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Cited by:

1. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
   
   • Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
   • Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.

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