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7 octobre 2013
- handle: 10670/1.05adox
- halshs: halshs-00927267
- doi: 10.1287/mnsc.2013.1767
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info:eu-repo/semantics/altIdentifier/doi/10.1287/mnsc.2013.1767
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Mots-clés
endogenous beliefs anticipatory feelings disappointment optimism portfolio choice skewness under-diversificationSujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management PortfolioCiter ce document
Elyès Jouini et al., « On Portfolio Choice with Savoring and Disappointment », HAL-SHS : économie et finance, ID : 10.1287/mnsc.2013.1767
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Résumé
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, 1272-1284, 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 anticipations which are endogenously determined. This permits to compare and evaluate in a consistent manner lotteries with different supports and to revisit the portfolio choice problem. We obtain new conclusions and interesting insights. Our extended model can rationalize a variety of empirically observed puzzles like a positive demand for assets with negative expected returns, preference for skewed returns and under-diversification of portfolios.