On Portfolio Choice with Savoring and Disappointment
Jouini, Elyès; Karehnke, Paul; Napp, Clotilde (2014), On Portfolio Choice with Savoring and Disappointment, Management Science, 60, 3, p. 796-804. http://dx.doi.org/10.1287/mnsc.2013.1767
TypeArticle accepté pour publication ou publié
External document linkhttps://halshs.archives-ouvertes.fr/halshs-00927267
Journal nameManagement Science
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Abstract (EN)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.
Subjects / KeywordsPortfolio choice
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