Results 121 to 130 of about 1,058 (153)

Risk aversion, disappointment aversion, and futures hedging

Journal of Futures Markets, 2001
AbstractThis article examines the effect of disappointment aversion on futures hedging. We incorporated a constant‐absolute‐risk‐aversion (CARA) utility function into the disappointment‐aversion framework of Gul (1991). It is shown that a more disappointment‐averse hedger will choose an optimal futures position closer to the minimum‐variance hedge than
Donald Lien, Yaqin Wang
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Model Risk and Disappointment Aversion

SSRN Electronic Journal, 2018
Extensions of expected utility theory are sensitive to the tail behavior of the portfolio return distribution and may not be approximated reliably through higher-order moment expansions. We develop a novel approach for model risk assessment based on a projection method and apply it to portfolio construction.
Hasan A Fallahgoul, Loriano Mancini, Stoyan Veselinov Stoyanov   +2 more
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A Theory of Disappointment Aversion

Econometrica, 1991
The author describes an axiomatic model of decision-making under uncertainty that includes expected utility theory as a special case, and is consistent with the Allais Paradox. The model obtained is the most restrictive possible model that satisfies the above assumptions.
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Asset Allocation with Disappointment Aversion

Vulnerability, Uncertainty, and Risk, 2014
This paper investigates disappointment aversion (DA) in financial markets within a typical asset allocation framework. Drawing upon the seminal study of Ang et al. (2005), we incorporate disappointment aversion (that is, aversion to outcomes that are worse than prior expectations) within a simple theoretical portfolio-choice model. Based on the results
Yuxin Xie, Athanasios A. Pantelous
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Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Management Science, 2021
We solve a dynamic equilibrium model with generalized disappointment-aversion preferences and continuous state-endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward-sloping term structure of nominal interest rates and a downward-sloping term structure of real interest rates and ...
Patrick Augustin, Roméo Tédongap
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Disappointment-Aversion in Security Games

2018
Even though players in a game optimize their goals by playing an equilibrium, the perceived payoff per round may (and in most cases will) deviate from the expected average payoff. For the example of loss minimization, an undercut of the expected loss is unproblematic, while suffering more than the expected loss may disappoint the player and lead it to ...
Jasmin Wachter, Stefan Rass, Sandra König, Stefan Schauer   +3 more
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Disappointment aversion equilibrium in a futures market

Journal of Futures Markets, 2002
AbstractThis article examines the effect of disappointment aversion on the equilibrium in a commodity futures market. Consider a commodity market with a producer and a speculator. We show that the equilibrium price is positively related to either agent's risk or disappointment aversion, and to the market volatility.
Donald Lien, Yaqin Wang
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Production theory under price uncertainty for firms with disappointment aversion

International Journal of Production Research, 2020
This paper studies the production theory of the competitive firm under price uncertainty by adopting four of the most well-established models of disappointment aversion.
Xu Guo, Martín Egozcue, Wing-Keung Wong
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Portfolio choices and hedge funds: a disappointment aversion analysis

The European Journal of Finance, 2020
The inclusion of hedge funds in large institutional portfolios is controversial. We use a disappointment aversion utility-based framework to investigate this issue.
René Ferland, Simon Lalancette
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The Effect of Disappointment Aversion on Risk Prevention

Managerial and Decision Economics
ABSTRACTWe adopt three of well‐established models of disappointment aversion to study the effect of disappointment aversion on risk prevention which involves self‐insurance and self‐protection. In self‐insurance actions, we show that, in general, the disappointment‐averse decision maker will exert more effort than the standard risk‐averse decision ...
Yongjin Yin, Shengwang Meng
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