Risk aversion, disappointment aversion,
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Donald Lien; Yaqin Wang
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Article
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2002
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John Wiley and Sons
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English
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## Abstract This article examines the effect of disappointment aversion on futures hedging. We incorporated a constantโabsoluteโriskโaversion (CARA) utility function into the disappointmentโaversion framework of Gul (1991). It is shown that a more disappointmentโaverse hedger will choose an optimal