L’impact du regret et de la réjouissance sur l’allocation d’actifs risqués

Franck Bien and Thomas Lanzi ()
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Franck Bien: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Thomas Lanzi: LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres

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Abstract: In this article, we propose to analyze the impact of regret and rejoicing on the allocation of risky assets. Regret and rejoicing are two emotions that are defined by comparing the result of an action selected by an agent with the result that he could have obtained from an alternative action. We show that the choice of the alternative action impacts the allocation of risky assets. When it is defined in relation to the ex post maximum expected result, the agent only feels regret. This may lead him, for low values of the marginal cost of risk, to retain more risky assets than an agent maximizing a standard expected utility function. In contrast, the agent could express a preference for certainty and define his emotions in relation to what a total investment in risk-free assets would bring him. In this case, we show that investment in risky assets is weaker than the investment made by an agent maximizing a standard expected utility function.

Keywords: regret; réjouissance; préférence pour la certitude; actifs risqués (search for similar items in EconPapers)
Date: 2018
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Published in Revue d'économie politique, 2018, 128 (4), ⟨10.3917/redp.284.0613⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02429524

DOI: 10.3917/redp.284.0613

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