Partial liquidation under reference-dependent preferences

DOI10.1007/S00780-020-00421-8MaRDI QIDQ2308175zbMATH OpenOpenAlexFDO

Authors Vicky Henderson, Jonathan Muscat

Publication date 25 March 2020

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00780-020-00421-8

zbMATH Keywords

prospect theorybehavioural financereference-dependent preferencesmultiple optimal stopping

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(3)

• Realization utility with path-dependent reference points
• Prospect theory and liquidation decisions
• Speculative trading, prospect theory and transaction costs

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