scholarly journals Randomized Strategies and Prospect Theory in a Dynamic Context

Author(s):  
Vicky Henderson ◽  
David Hobson ◽  
Alex S. L. Tse
2017 ◽  
Vol 168 ◽  
pp. 287-300 ◽  
Author(s):  
Vicky Henderson ◽  
David Hobson ◽  
Alex S.L. Tse

2015 ◽  
Vol 105 (4) ◽  
pp. 1618-1633 ◽  
Author(s):  
Sebastian Ebert ◽  
Philipp Strack

We provide a result on prospect theory decision makers who are naïve about the time inconsistency induced by probability weighting. If a market offers a sufficiently rich set of investment strategies, investors postpone their trading decisions indefinitely due to a strong preference for skewness. We conclude that probability weighting in combination with naïveté leads to unrealistic predictions for a wide range of dynamic setups. (JEL D81, G02, G11)


2011 ◽  
Vol 42 (01) ◽  
Author(s):  
R. Bathe-Peters ◽  
R. Fleischmann ◽  
S. Schmidt ◽  
S.A. Brandt

2006 ◽  
Vol 35 (6) ◽  
pp. 331-334 ◽  
Author(s):  
Wolfgang Breuer ◽  
Marc Gürtler
Keyword(s):  

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