Randomized strategies and prospect theory in a dynamic context

DOI10.1016/j.jet.2017.01.003zbMath1400.91178OpenAlexW3125272910MaRDI QIDQ508405

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

Publication date: 10 February 2017

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

Full work available at URL: http://wrap.warwick.ac.uk/84643/7/WRAP_1273267-st-221216-pt-jetnotedec22.pdf

zbMATH Keywords

behavioral economicsprospect theoryprobability weightingrandomized strategies

Mathematics Subject Classification ID

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

Related Items (7)

Probability weighting, stop-loss and the disposition effect ⋮ On expected utility in optimal stopping of diffusions ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Optimal stopping and the sufficiency of randomized threshold strategies ⋮ Two explicit Skorokhod embeddings for simple symmetric random walk ⋮ Partial liquidation under reference-dependent preferences ⋮ Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers

Cites Work

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• Separating marginal utility and probabilistic risk aversion
• An index of loss aversion
• Optimal stopping under probability distortion
• Choice under uncertainty with the best and worst in mind: Neo-additive capacities
• Prospect Theory
• ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS

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