Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model

DOI10.1287/OPRE.2016.1545zbMath1414.91081OpenAlexW2554356840MaRDI QIDQ5739114

Jan Obłój, Xue Dong He, Sang Hu, Xun Yu Zhou

Publication date: 2 June 2017

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2016.1545

zbMATH Keywords

optimal stoppingquasi-convexitycumulative prospect theorypath dependencerandomized strategiescasino gambling

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Related Items (6)

Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ 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 ⋮ Behavioral mean-variance portfolio selection ⋮ Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers

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