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Disappointment Aversion and Expectiles

Author

Listed:
  • Fabio Bellini
  • Fabio Maccheroni
  • Tiantian Mao
  • Ruodu Wang
  • Qinyu Wu

Abstract

This paper recasts Gul (1991)'s theory of disappointment aversion in a Savage framework, with general outcomes, new explicit axioms of disappointment aversion, and novel explicit representations. These permit broader applications of the theory and better understanding of its decision-theoretic foundations. Our results exploit an unexpected connection of Gul's theory and the econometric framework of Newey and Powell (1987) of asymmetric least square estimation.

Suggested Citation

  • Fabio Bellini & Fabio Maccheroni & Tiantian Mao & Ruodu Wang & Qinyu Wu, 2025. "Disappointment Aversion and Expectiles," Papers 2508.05541, arXiv.org.
    • Handle: RePEc:arx:papers:2508.05541
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