Optimal choice and beliefs with ex ante savoring and ex post disappointment / Christian Gollier in Management science, Vol. 56 N° 8 (Août 2010)  

Public ISBD [article]  inManagement science > Vol. 56 N° 8 (Août 2010) . - pp. 1272-1284 Titre : Optimal choice and beliefs with ex ante savoring and ex post disappointment Type de document : texte imprimé Auteurs : Christian Gollier, Auteur ; Alexander Muermann, Auteur Année de publication : 2010 Article en page(s) : pp. 1272-1284 Note générale : Management Langues : Anglais (eng) Mots-clés : Endogenous beliefs Anticipatory feeling Disappointment Optimism Decision under risk Portfolio allocation Insurance demand Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We propose a new decision criterion under risk in which individuals 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 compatible with first-degree and second-degree stochastic dominance and yield a preference for early resolution of uncertainty. Furthermore, they are consistent with observed violations of the independence axiom, such as the preference reversal in the Allais paradox, and predict that the decision maker takes on less risk compared to an expected utility maximizer. Our decision criterion can thus help explain the equity premium puzzle and the preference for low deductibles in insurance contracts. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/8.toc [article] Optimal choice and beliefs with ex ante savoring and ex post disappointment [texte imprimé] / Christian Gollier, Auteur ; Alexander Muermann, Auteur . - 2010 . - pp. 1272-1284. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 8 (Août 2010) . - pp. 1272-1284 Mots-clés : Endogenous beliefs Anticipatory feeling Disappointment Optimism Decision under risk Portfolio allocation Insurance demand Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We propose a new decision criterion under risk in which individuals 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 compatible with first-degree and second-degree stochastic dominance and yield a preference for early resolution of uncertainty. Furthermore, they are consistent with observed violations of the independence axiom, such as the preference reversal in the Allais paradox, and predict that the decision maker takes on less risk compared to an expected utility maximizer. Our decision criterion can thus help explain the equity premium puzzle and the preference for low deductibles in insurance contracts. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/8.toc

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