Adam Smith Business School

Professor Fabio Maccheroni, Bocconi University

"Disappointment Aversion and Expectiles"
Tuesday, 3 of March. 16:00
Room 383, Adam Smith Business School

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.

Bio

Fabio Maccheroni is a Full Professor of Mathematical Economics at Bocconi University, and a Dungeon Master. His expertise is in decision theory and mathematical economics, his main research topic is choice under uncertainty and model misspecification.

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First published: 4 February 2026