𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Generalized Disappointment Aversion and Asset Prices

✍ Scribed by BRYAN R. ROUTLEDGE; STANLEY E. ZIN

Book ID
109177677
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
804 KB
Volume
65
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Risk aversion, disappointment aversion,
Risk aversion, disappointment aversion, and futures hedging
✍ Donald Lien; Yaqin Wang 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 133 KB

## Abstract This 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 Hedging Under Disappointment Ave
Futures Hedging Under Disappointment Aversion
✍ Donald Lien 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 111 KB

## Abstract This article considers optimal futures hedging decisions when the hedger is disappointment‐averse (Gul, 1991). When the futures contract is a perfect hedge instrument, a disappointment‐averse hedger always holds a position closer to the full hedge than a nondisappointment‐averse hedger.