TY  - UNPD
A1  - Gollier, Christian
A1  - Muermann, Alexander
T1  - Optimal choice and beliefs with ex ante savoring and ex post disappointment
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,28
N2  - We 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.
T3  - CFS working paper series - 2006, 28 
KW  - Disappointment
KW  - Optimism
KW  - Decision
KW  - Under Risk
KW  - Portfolio Allocation
KW  - Entscheidung bei Unsicherheit
KW  - Portfoliomanagement
KW  - Portfolio Selection
KW  - Endogenous Beliefs
KW  - Anticipatory Feeling
KW  - Disappointment
KW  - Optimism
KW  - Decision
KW  - Under Risk
KW  - Portfolio Allocation
Y1  - 2006
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1631
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-38022
IS  - November 2006
ER  -