Difference Between Print & Monitor: What to expect

How do I manage the difference between what I see on screen and my print output?
I don't think it's a color management problem but more a question about whether I understand it sufficiently.
I have a pretty cheap inkjet which has a matched profile for glossy paper (made with Eye 1 device).  Overall, the color is OK but it's the brightness that gets me.  My main question is should I expect an image on a monitor to be brighter than the same image printed on glossy paper?  I'd guess the difference is up to a stop and certainly a half stop.
If I choose >view>Proof Setup>Custom and select the profile for the printer then it certainly brings the brightness of the screen image down a bit but then, when I try to adjust with that profile the image I'm trying to print can't really take the adjustment.  Here's my next question.  If I am preparing an image in PS for this printer, should I work with Monitor RGB as the Proof setting or use the profile of the printer/paper?
I'm pretty sure I have a reasonable grasp of color management (without the really technical stuff) but am I understanding it's application in PS?
Thanks
Martin

The monitor uses transmitted light, the printer, inks. The same as why transparencies always seem brighter than their respective prints. The dynamic range of the two media don't match.
So far as matching, the best case is to use curves while having the print profile to bring it up a bit. The second option is to use  papers that come closer to the monitor, or at least is satisfactory when switching the profile on and off.
With a cheap printer, you may be pushing it a bit to go to the expensive papers. Two I would try are:
Epson Exhibition fiber;
Hahnemuhle Photo Rag Baryta.
One way to find if papers are possibly useful is to download the profiles, apply them and see how the look changes.
Printing is an art well beyond simple clicking of profiles, no matter how they are made.

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