Randomized strategies and prospect theory in a dynamic context
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Publication:508405
DOI10.1016/J.JET.2017.01.003zbMATH Open1400.91178OpenAlexW3125272910MaRDI QIDQ508405FDOQ508405
David Hobson, Vicky Henderson, Alex S. L. Tse
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
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Cites Work
- Prospect Theory
- Advances in prospect theory: cumulative representation of uncertainty
- An index of loss aversion
- Optimal stopping under probability distortion
- Choice under uncertainty with the best and worst in mind: Neo-additive capacities
- Title not available (Why is that?)
- Representation of measures by balayage from a regular recurrent point
- Separating marginal utility and probabilistic risk aversion
- Risk-neutral firms can extract unbounded profits from consumers with prospect theory preferences
- Prospect theory for continuous distributions: a preference foundation
- ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
- Piecewise additivity for non-expected utility
Cited In (13)
- Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers
- Cautious stochastic choice, optimal stopping and deliberate randomization
- Optimal stopping in a dynamic salience model
- Partial liquidation under reference-dependent preferences
- Probability weighting, stop-loss and the disposition effect
- Optimal stopping and the sufficiency of randomized threshold strategies
- Random Horizon Principal-Agent Problems
- On expected utility in optimal stopping of diffusions
- Strategic Binary Choice Models with Partial Observability
- Title not available (Why is that?)
- Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences
- Non-randomized strategies in stochastic decision processes
- Two explicit Skorokhod embeddings for simple symmetric random walk
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