Portfolio choice and asset pricing with endogenous beliefs and skewness preference

P. Karehnke

Research output: ThesisDoctoral Thesis

539 Downloads (Pure)

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.
Original languageEnglish
QualificationJoint degree
Awarding Institution
  • Tilburg University
  • Université Paris Dauphine
Supervisors/Advisors
  • de Roon, Frans, Promotor
  • Jouini, E., Promotor, External person
Award date24 Nov 2014
Place of PublicationTilburg
Publisher
Print ISBNs9789056684129
Publication statusPublished - 24 Nov 2014

    Fingerprint

Cite this

Karehnke, P. (2014). Portfolio choice and asset pricing with endogenous beliefs and skewness preference. Tilburg: CentER, Center for Economic Research.