 Portfolio choice and asset pricing with endogenous beliefs and skewness preferencein Economics Thesis from University Paris Dauphine from Paris Dauphine University Abstract: This thesis studies portfolio choice and asset pricing with preferences which go beyond the standard expected utility and mean-Variance preferences. The first part of this thesis analyses a decision model in which the decision maker forms endogenous beliefs given his anticipation utility and his ex-Post disappointment. Portfolio choice and asset pricing implications of the model are derived and compared to the implications of the standard expected utility framework. The second part of this thesis analyses investors choice when preferences are derived from the first three moments of portfolio returns. We derive and test the conditions under which additional assets can improve the investment opportunity set of investors with mean-Variance-Skewness preferences. The implications of these preferences for the equilibrium cross-Section of asset returns are then analyzed and tested with stock returns. Keywords: Évaluations d'actifs; Choix de portefeuille; Croyances éndogènes; Anticipations; Déception; Skewness; Asset pricing; Portfolio choice; Endogenous beliefs; Anticipatory feelings; Disappointment (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:dau:thesis:123456789/14624 Ordering information: This item can be ordered from Access Statistics for this book More books in Economics Thesis from University Paris Dauphine from Paris Dauphine University Contact information at EDIRC. |
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