On Portfolio Choice with Savoring and Disappointment

We revisit the model proposed by Gollier-Müermann (2010). In GM, the set of possible anticipations is assumed to be exogeneously fixed. We rather propose a set of possible anticipations that is endogeneously fixed. This permits to consider lotteries with different supports and to revisit the portfolio choice problem, leading to new conclusions and interesting insights.

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Year of publication:	2013
Authors:	Jouini, Elyès ; Karehnke, Paul ; Napp, Clotilde
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Portfolio choice

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Management Science, 2013, Vol. 60, no. 3. pp. 796-804.Length: 8 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011071969