Probability weighting, stop-loss and the disposition effect

DOI10.1016/j.jet.2018.10.002zbMath1417.91201OpenAlexW3121289003MaRDI QIDQ1622455

Vicky Henderson, Alex S. L. Tse, David G. Hobson

Publication date: 19 November 2018

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/109082/7/WRAP-probability-weighting-stop-loss-disposition-effect-Henderson-2018.pdf

zbMATH Keywords

behavioral economicsprospect theoryprobability weightingdisposition effectinvestor trading behavior

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items

Optimal stopping with behaviorally biased agents: the role of loss aversion and changing reference points, Cautious stochastic choice, optimal stopping and deliberate randomization, Partial liquidation under reference-dependent preferences, Speculative trading, prospect theory and transaction costs

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