On Portfolio Choice with Savoring and Disappointment
نویسندگان
چکیده
منابع مشابه
On Portfolio Choice with Savoring and Disappointment
We revisit the model proposed by Gollier and Muermann (see Gollier, C. and A. Muermann, 2010, Optimal choice and beliefs with exante savoring and ex-post disappointment, Management Sci., 56, 12721284, hereafter GM). In GM, for a given lottery, agents form anticipated expected payoffs and the set of possible anticipations is assumed to be exogenously fixed. We rather propose sets of possible ant...
متن کاملOptimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and the preferences under risk generat...
متن کاملBetter Safe than Sorry: Bulls, Bears, and Optimal International Portfolio Choice under Disappointment Aversion
This paper examines optimal international portfolio choice when equity market linkages increase during periods of distress and investors are averse to disappointing outcomes. I propose a model that captures the joint effect of these two phenomena and show that it leads to a first-order effect on the optimal portfolios. Even during correlated downturns, international diversification is still hig...
متن کاملDisappointment in Social Choice Protocols
Social choice theory is a theoretical framework for analysis of combining individual preferences, interests, or welfares to reach a collective decision or social welfare in some sense. We introduce a new criterion for social choice protocols called ”social disappointment”. Social disappointment happens when the outcome of a voting system occurs for those alternatives which are at the end of at ...
متن کاملPortfolio Choice with Illiquid Assets
We investigate how the inability to continuously trade an asset affects portfolio choice. We extend the standard Merton model to include an illiquid asset that can only be traded at infrequent, stochastic intervals. Because consumption is financed through liquid wealth only, the presence of illiquidity leads to increased and state-dependent risk aversion. Illiquidity leads to under-investment i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Management Science
سال: 2014
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2013.1767