کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11263877 | 1645630 | 2018 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Probability weighting, stop-loss and the disposition effect
ترجمه فارسی عنوان
وزن بندی احتمالی، توقف ضرر و اثر تخریب
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper we study a continuous-time, optimal stopping model of an asset sale with prospect theory preferences under pre-commitment. We show for a wide range of value and probability weighting functions, including those of Tversky and Kahneman (1992), that the optimal prospect takes the form of a stop-loss threshold and a distribution over gains. It is skewed with a long right tail. This is consistent with both the widespread use of stop-loss strategies in financial markets, and recent experimental evidence. Moreover, our model with probability weighting in tandem with the S-shaped value function makes predictions for the disposition effect which match in magnitude that calculated by Odean (1998).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 178, November 2018, Pages 360-397
Journal: Journal of Economic Theory - Volume 178, November 2018, Pages 360-397
نویسندگان
Vicky Henderson, David Hobson, Alex S.L. Tse,