Robust dynamic trading with realization utility

DOI10.1016/J.ECONLET.2024.111960MaRDI QIDQ6665040

Zhentao Zou, Jinping Zhang, Lei Zhou

Publication date: 16 January 2025

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

prospect theorymodel uncertaintydisposition effectrealization utility

Mathematics Subject Classification ID

Utility theory (91B16) Trade models (91B60)

Cites Work

• Super contact and related optimality conditions
• Advances in prospect theory: cumulative representation of uncertainty
• Robust control and model misspecification
• Prospect theory and liquidation decisions
• Risk, ambiguity and the Savage axioms
• Prospect Theory: An Analysis of Decision under Risk
• Robust Contracts in Continuous Time
• Realization utility with adaptive reference points
• Realization Utility with Path-Dependent Reference Points

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