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
Type
Article accepté pour publication ou publiéExternal document link
https://halshs.archives-ouvertes.fr/halshs-00927267Date
2014Journal name
Management ScienceVolume
60Number
3Publisher
INFORMS
Pages
796-804
Publication identifier
Metadata
Show full item recordAbstract (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 / Keywords
Portfolio choiceRelated items
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