  This paper addresses the continuous-time portfolio selection problem under
generalized disappointment aversion (GDA). The implicit definition of the
certainty equivalent within GDA preferences introduces time inconsistency to
this problem. We provide the sufficient and necessary condition for a strategy
to be an equilibrium by a fully nonlinear integral equation. Investigating the
existence and uniqueness of the solution to the integral equation, we establish
the existence and uniqueness of the equilibrium. Our findings indicate that
under disappointment aversion preferences, non-participation in the stock
market is the unique equilibrium. The semi-analytical equilibrium strategies
obtained under the constant relative risk aversion utility functions reveal
that, under GDA preferences, the investment proportion in the stock market
consistently remains smaller than the investment proportion under classical
expected utility theory. The numerical analysis shows that the equilibrium
strategy's monotonicity concerning the two parameters of GDA preference aligns
with the monotonicity of the degree of risk aversion.
