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dc.contributor.authorGollier, Christianen_US
dc.contributor.authorMuermann, Alexanderen_US
dc.date.accessioned2007-04-20en_US
dc.date.accessioned2009-07-24T13:48:05Z-
dc.date.available2009-07-24T13:48:05Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:hebis:30-38022-
dc.identifier.urihttp://hdl.handle.net/10419/25494-
dc.description.abstractWe propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice/insurance problem. We show that these preferences are consistent with the preference reversal in the Allais’ paradoxes and predict that the decision maker takes on less risk compared to an expected utility maximizer. This speaks to the equity premium puzzle and to the preference for low deductibles in insurance contracts. Keywords: endogenous beliefs, anticipatory feeling, disappointment, optimism, decision under risk, portfolio allocation.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2006/28en_US
dc.subject.jelD81en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordEndogenous Beliefsen_US
dc.subject.keywordAnticipatory Feelingen_US
dc.subject.keywordDisappointmenten_US
dc.subject.keywordOptimismen_US
dc.subject.keywordDecision Under Risken_US
dc.subject.keywordPortfolio Allocationen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwEntscheidung bei Risikoen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwRisikopräferenzen_US
dc.subject.stwErwartungsnutzenen_US
dc.subject.stwTheorieen_US
dc.titleOptimal choice and beliefs with ex ante savoring and ex post disappointmenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn527429813en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200628-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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