Thumbnail - No thumbnail

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 publié
External document link
https://halshs.archives-ouvertes.fr/halshs-00927267
Date
2014
Journal name
Management Science
Volume
60
Number
3
Publisher
INFORMS
Pages
796-804
Publication identifier
Metadata
Show full item record
Author(s)
Jouini, Elyès

Karehnke, Paul

Napp, Clotilde cc
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 / Keywords
Portfolio choice
JEL
G11 - Portfolio Choice; Investment Decisions