ROUTLEDGE, BRYAN R.; ZIN, STANLEY E. - In: Journal of Finance 65 (2010) 4, pp. 1303-1332
We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This...