Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao, Ruodu Wang, Qinyu Wu

TL;DR
This paper reformulates disappointment aversion within a Savage framework, introducing new axioms and representations that enhance its theoretical foundation and link it to asymmetric least squares estimation.
Contribution
It provides a novel axiomatic and representational reformulation of disappointment aversion, broadening its applicability and connecting it to econometric estimation methods.
Findings
New explicit axioms of disappointment aversion
Broader applications enabled by the reformulation
Connection to asymmetric least squares estimation
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.
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