Portfolio Choice when Stock Returns may Disappoint: An Empirical Analysis Based on L-moments

We empirically examine the equity portfolio choices of investors with generalized disappointment aversion (GDA) preferences.
Opposite to expected utility investors, GDA investors suffer large utility losses from suboptimal trading strategies such as equally weighted portfolios. 
These losses arise from the sensitivity to disappointing returns rather than from the threshold below which returns are perceived as disappointing.
Using a novel robust method based on L-moments, we find that high order moment returns, even beyond order four, have a substantial and economically sensible impact on portfolio choice.