Optimal expectations

• 成果类型: Article
• 署名作者: Brunnermeier, MK; Parker, JA
• 署名单位: Princeton University; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/0002828054825493
• 发表日期: 2005
• 页码: 1092-1118
• 关键词: PROSPECT-THEORY; skewness; DECISION; memory; STOCK; MODEL; BACK; RISK

摘要

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.