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dc.contributor.authorGollier, Christianen
dc.date.accessioned2009-01-28T15:52:35Z-
dc.date.available2009-01-28T15:52:35Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/18746-
dc.description.abstractWe examine a static one-risk-free-one-risky asset portfolio choice when the investor's wellbeing is affected by the anticipatory feelings associated to potential capital gains and losses. These feelings can be manipulated by the choice of subjective beliefs on the distribution of returns. However, the bias of these endogenous subjective beliefs induces the choice of a portfolio that is suboptimal with respect to the objective expected utility of final wealth. We characterize the structure of these optimal beliefs. We first show that optimal subjective beliefs must be degenerated with only two possible returns. Moreover, under some weak conditions on the utility function, these two atoms are at the lower and upper bounds of the objectively feasible returns. When the intensity of anticipatory feelings is small, the formation of beliefs must be biased in favor of optimism, which implies an increase in the equilibriumdemand for the risky asset. We also show that the optimal beliefs are approximately independent of the investor's degree of risk aversion.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x1382en
dc.subject.jelD81en
dc.subject.ddc330en
dc.subject.keywordanticipatory feelingsen
dc.subject.keywordportfolio choiceen
dc.subject.keywordoverconfidenceen
dc.subject.keywordpositive thinkingen
dc.subject.keywordendogenous beliefsen
dc.subject.stwAnlageverhaltenen
dc.subject.stwPortfolio-Managementen
dc.subject.stwEmotionen
dc.subject.stwErwartungstheorieen
dc.subject.stwScheingewinnen
dc.subject.stwBiasen
dc.subject.stwTheorieen
dc.titleOptimal illusions and decisions under risk-
dc.typeWorking Paperen
dc.identifier.ppn479119465en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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