We consider portfolio selection by investors with a concern for disap- pointment aversion in addition to standard mean-variance criteria. Empirically asset return distributions exhibit heavy tails, implying the possible relevance of disappointment aversion. We argue theoretically and show empirically that this concern withers more rapidly than the concern for variance as the portfolio size increases.
Keywords: Portfolio diversication, generalized disappointment aver- sion, downside risk, heavy tails