Robust dynamic trading with realization utility

DOI10.1016/J.ECONLET.2024.111960MaRDI QIDQ6665040zbMATH OpenFDO

Authors Jinping Zhang, Lei Zhou, Zhentao Zou

Publication date 16 January 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111960

zbMATH Keywords

disposition effectmodel uncertaintyprospect theoryrealization utility

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

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