May 11 at 4 pm (CEST).
Presenters: Loriano Mancini (Università della Svizzera Italiana)
Title: Portfolio choice when stock returns may disappoint: An empirical analysis based on L-moments
Abstract: We empirically examine the equity portfolio choices of investors with generalized disappointment aversion (GDA) preferences. The portfolio choice relies on a novel semi-parametric method based on L-moments which permits a large-scale empirical study. GDA investors appear to be very sensitive to higher-order L-moment returns, and to suffer large monetary utility losses from suboptimal portfolio choices such as equally weighted portfolios. These losses increase in the level of disappointment aversion and the number of stocks available for investment.