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Replication data for: Optimal Expectations

Version
1
Resource Type
Dataset
Creator
  • Brunnermeier, Markus K.
  • Parker, Jonathan A.
Publication Date
2005-09-01
Description
  • Abstract

    Forward-looking agents care about expected future utility flows, and hence have higher current felicity if they are optimistic. This paper studies utility-based biases in beliefs by supposing that beliefs maximize average felicity, optimally balancing this benefit of optimism against the costs of worse decision making. A small optimistic bias in beliefs typically leads to first-order gains in anticipatory utility and only second-order costs in realized outcomes. In a portfolio choice example, investors overestimate their return and exhibit a preference for skewness; in general equilibrium, investors' prior beliefs are endogenously heterogeneous. In a consumption-saving example, consumers are both overconfident and overoptimistic.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/0002828054825493 (Text)
Publications
  • Brunnermeier, Markus K, and Jonathan A Parker. “Optimal Expectations.” American Economic Review 95, no. 4 (August 2005): 1092–1118. https://doi.org/10.1257/0002828054825493.
    • ID: 10.1257/0002828054825493 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Brunnermeier, Markus K.; Parker, Jonathan A. (2005): Replication data for: Optimal Expectations. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116054V1