Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences

DOI10.1016/J.JET.2024.105925MaRDI QIDQ6664587zbMATH OpenFDO

Authors Xue Dong He, Sang Hu

Publication date 16 January 2025

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

zbMATH Keywords

optimal stoppingcumulative prospect theoryintra-personal equilibriumsophisticated agentsnaive agents

Mathematics Subject Classification ID

Mathematical economics (91Bxx)

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Cites work

• A model of reference-dependent preferences
• Advances in prospect theory: cumulative representation of uncertainty
• Cumulative prospect theory and the St. Petersburg paradox
• Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
• First order versus second order risk aversion
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
• Investment and consumption without commitment
• On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
• On time-inconsistent stopping problems and mixed strategy stopping times
• Optimal Stopping Under Probability Distortions
• Optimal exit time from casino gambling: strategies of precommitted and naive gamblers
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Optimal stopping under probability distortion
• Probability weighting, stop-loss and the disposition effect
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Randomized strategies and prospect theory in a dynamic context
• Stochastic Analysis, Filtering, and Stochastic Optimization
• Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
• The Probability Weighting Function
• Time-consistent stopping under decreasing impatience
• Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment

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