The Disappointment Aversion Utility
Asset allocation under disappointment aversion
... Recall that x c is only presented when there is no chance to lose, otherwise it is constrained to zero for most cases. We further posit that participants combine their utility and probability in a linear manner, ...
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Generalized Disappointment Aversion and Asset Prices
... Gul’s disappointment aversion model by allowing risk aversion to be “first order” at locations in the state space that do not correspond to ...recursive utility model, has important ...
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Investment in education under disappointment aversion
... that disappointment aversion leads low (high) ability individuals to “underinvest” (“overinvest”) in ...loss aversion (of which disappointment aversion is a special case) generates an ...
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Disappointment aversion and social comparisons in a real effort competition
... pointment aversion. Suppose that the material utility of winning simply depends on the amount won, and the asymmetric weighting of gains and losses is akin to the loss aversion exhibited in many ...
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A Structural Analysis of Disappointment Aversion in a Real Effort Competition
... The results further show that the cost of effort function exhibits significant convexity. In addition there is significant transitory and permanent variation over Second Movers in the cost of effort, with persistent ...
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Link-based route choice considering risk aversion, disappointment and regret
... that disappointment plays an important role in decision making as well (16, ...regret, disappointment derives from “counterfactual thinking” ...field, disappointment is usually neglected in decision ...
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Adaptive utility and trial aversion
... DM’s utility value (on a given scale) for some novel decision ...the utility of such an outcome is uncertain, then the DM may ‘observe’ θ by experiencing the unfamiliar outcome and noting whether or not she ...
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Dynamic Disappointment Aversion: Don't Tell Me Anything Until You Know For Sure
... a utility function over prizes and a coe¢ cient of disappointment aversion that determines the additional weight given to the disappointing outcomes, which is thought of as a characteristic of the ...
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Disappointment Cycles
... different) disappointment aversion ...increasing utility function over monetary prizes, a set of potential disappointment aversion coefficients, and a history assignment mapping ...
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Correcting expected utility for comparisons between alternative outcomes: A unified parameterization of regret and disappointment
... introduce disappointment that preserves the expected utility formulation in its usual form, but adds a corrective term for any discrepancy between the obtained outcome and the best possible outcome for the ...
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Volatility, Investment and Disappointment Aversion
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Myopic loss aversion, disappointment aversion, and the equity premium puzzle
... loss aversion is crucially dependent on a very short time horizon, and already a horizon of three years or so seems too long for loss aversion to be a satisfactory explanation of the historical equity ...
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Optimal Buffer Stocks and Precautionary Savings with Disappointment Aversion
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Disappointment aversion and the equity premium puzzle: new international evidence
... An interesting finding that emerges from Table 1 is that higher returns are not always associated with higher volatilities (e.g., the highest volatility observed in the German stock market (at 32.20%) is associated with ...
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Local Utility and Risk Aversion
... Keywords: local utility, multivariate risk aversion, multivariate rank dependent utility, pes- simism, multivariate Bickel-Lehmann dispersion. JEL subject classification : D63, D81, C61 The authors ...
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Intertemporal utility and correlation aversion.
... intertemporal utility function have generated counter-intuitive implications for the relationship between atemporal risk aversion and the intertemporal elasticity of ...intertemporal utility function ...
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Utility maximization, risk aversion, and stochastic dominance
... power utility is to invest a time-dependent but deterministic fraction π ˆ t in the risky asset; the corresponding optimal wealth processes is then given by E ( ...
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Risk aversion asymptotics for power utility maximization
... risk aversion of general utility functions in discrete ...exponential utility − exp(−αx) without claim, the optimal strat- egy is proportional to the inverse of the absolute risk aversion α ...
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Lecture 13: Risk Aversion and Expected Utility
... Bernoulli utility function representation of these preferences, an individual is therefore risk averse if and only if: for all F(A), This is Jensen’s Inequality and is the defining property of a concave ...risk ...
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Generalised means of simple utility functions with risk aversion
... expected utility maximisation is then equivalent to familiar mean-variance analysis with a simple investor indifference ...on utility functions besides monotonicity and concavity on the grounds of ...
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