On Portfolio Choice with Savoring and Disappointment
扩展了Gollier和Muermann的模型，通过内生化可能的预期集合，重新审视资产组合选择问题，能够解释负期望收益资产的正需求、偏好偏态收益和投资组合分散不足等实证谜题。
We revisit the model proposed by Gollier and Muermann [Gollier C, Muermann A (2010) Optimal choice and beliefs with ex ante savoring and ex post disappointment. Management Sci. 56(8):1272–1284; hereafter, GM]. In the GM model, for a given lottery, agents form anticipated expected payoffs and the set of possible anticipations is assumed to be exogenously fixed. We propose sets of possible anticipations that are endogenously determined. This permits us to compare and evaluate in a consistent manner lotteries with different supports and to revisit the portfolio choice problem. We obtain new conclusions and interesting insights. Our extended model can rationalize a variety of empirically observed puzzles such as a positive demand for assets with negative expected returns, preference for skewed returns, and underdiversification of portfolios. This paper was accepted by Rakesh Sarin, decision analysis.