Disappointment Aversion and Expectiles

Fabio Bellini, Fabio Maccheroni, Tiantian Mao, Ruodu Wang and Qinyu Wu

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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.

Date: 2025-08
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