On Portfolio Choice with Savoring and Disappointment

• 成果类型: Article
• 署名作者: Jouini, Elyes; Karehnke, Paul; Napp, Clotilde
• 署名单位: Universite PSL; Universite Paris-Dauphine; Universite PSL; Universite Paris-Dauphine; Tilburg University; Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1767
• 发表日期: 2014
• 页码: 796-804
• 关键词: endogenous beliefs; anticipatory feelings; disappointment; optimism; portfolio choice; skewness; UNDERDIVERSIFICATION

摘要

We revisit the model proposed by Gollier and Muermann [Gollier C, Muermann A (2010) Optimal choice and beliefs with ex ante savoring and ex post disappointment. Management Sci. 56(8): 1272-1284; hereafter, GM]. In the GM model, for a given lottery, agents form anticipated expected payoffs and the set of possible anticipations is assumed to be exogenously fixed. We propose sets of possible anticipations that are endogenously determined. This permits us 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 such as a positive demand for assets with negative expected returns, preference for skewed returns, and underdiversification of portfolios.