A consumption-based asset pricing model with disappointment aversion and uncertainty shocks
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DOI: 10.1016/j.econmod.2020.09.016
Abstract: Abstract We study a consumption-based asset pricing model with ‘good’ and ‘bad’ uncertainties. Good and bad uncertainties are characterized by two gamma distributions with time-varying shape parameters and they respectively represent potentially fat-tailed, skewed positive… read more here.
Keywords: asset pricing; based asset; consumption; disappointment aversion ... See more keywords
Ordering and sales effort investment for temperature-sensitive products considering retailer’s disappointment aversion and elation seeking
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DOI: 10.1080/00207543.2017.1374577
Abstract: We investigate a retailer’s optimal policy of ordering and sales effort investment for temperature-sensitive products in a stylised newsvendor setting considering the effects of the retailer’s disappointment aversion and elation seeking. We provide a function… read more here.
Keywords: retailer; temperature; disappointment aversion; elation ... See more keywords
Production theory under price uncertainty for firms with disappointment aversion
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DOI: 10.1080/00207543.2020.1733699
Abstract: This paper studies the production theory of the competitive firm under price uncertainty by adopting four of the most well-established models of disappointment aversion. Our results show that a disappointment-averse firm will generally produce less… read more here.
Keywords: production; disappointment aversion; production theory; price uncertainty ... See more keywords