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...

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...

This thesis studies portfolio choice and asset pricing with preferences which go beyond the standard expected utility and mean-Variance preferences. The first part of this thesis analyses a decision model in which the decision maker forms endogenous beliefs given his anticipation utility and his...