Disappointment Aversion and Expectiles
Theoretical Economics
2025-08-08 v1
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.
Cite
@article{arxiv.2508.05541,
title = {Disappointment Aversion and Expectiles},
author = {Fabio Bellini and Fabio Maccheroni and Tiantian Mao and Ruodu Wang and Qinyu Wu},
journal= {arXiv preprint arXiv:2508.05541},
year = {2025}
}