Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25494 
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dc.contributor.authorGollier, Christianen
dc.contributor.authorMuermann, Alexanderen
dc.date.accessioned2007-04-20-
dc.date.accessioned2009-07-24T13:48:05Z-
dc.date.available2009-07-24T13:48:05Z-
dc.date.issued2006-
dc.identifier.piurn:nbn:de:hebis:30-38022en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2006/28en
dc.subject.jelD81en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordEndogenous Beliefsen
dc.subject.keywordAnticipatory Feelingen
dc.subject.keywordDisappointmenten
dc.subject.keywordOptimismen
dc.subject.keywordDecision Under Risken
dc.subject.keywordPortfolio Allocationen
dc.subject.stwAnlageverhaltenen
dc.subject.stwEntscheidung bei Risikoen
dc.subject.stwPortfolio-Managementen
dc.subject.stwRisikopräferenzen
dc.subject.stwErwartungsnutzenen
dc.subject.stwTheorieen
dc.titleOptimal choice and beliefs with ex ante savoring and ex post disappointment-
dc.typeWorking Paperen
dc.identifier.ppn527429813en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200628en

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