Speculative Trading, Prospect Theory and Transaction Costs
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Daniel Kahneman & Dan Lovallo, 1993. "Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking," Management Science, INFORMS, vol. 39(1), pages 17-31, January.
- Min Dai & Zhou Yang & Qing Zhang & Qiji Jim Zhu, 2016. "Optimal Trend Following Trading Rules," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 626-642, May.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Daniel Kahneman & Amos Tversky, 2013.
"Prospect Theory: An Analysis of Decision Under Risk,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127,
World Scientific Publishing Co. Pte. Ltd..
- Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Xuedong He & Linan Yang, 2019. "Realization utility with adaptive reference points," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 409-447, April.
- Zuo Quan Xu & Xun Yu Zhou, 2011. "Optimal stopping under probability distortion," Papers 1103.1755, arXiv.org, revised Feb 2013.
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Jonathan E. Ingersoll & Lawrence J. Jin, 2013. "Realization Utility with Reference-Dependent Preferences," The Review of Financial Studies, Society for Financial Studies, vol. 26(3), pages 723-767.
- David Hobson & Alex S. L. Tse & Yeqi Zhu, 2019. "Optimal consumption and investment under transaction costs," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 483-506, April.
- Tim Leung & Xin Li, 2015.
"Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
- Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised May 2015.
- Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
- Henderson, Vicky & Hobson, David & Tse, Alex S.L., 2018. "Probability weighting, stop-loss and the disposition effect," Journal of Economic Theory, Elsevier, vol. 178(C), pages 360-397.
- Kyle, Albert S. & Ou-Yang, Hui & Xiong, Wei, 2006. "Prospect theory and liquidation decisions," Journal of Economic Theory, Elsevier, vol. 129(1), pages 273-288, July.
- Tim Leung & Xin Li & Zheng Wang, 2015. "Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs," Papers 1504.04682, arXiv.org.
- Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Alex S. L. Tse & Harry Zheng, 2023. "Speculative trading, prospect theory and transaction costs," Finance and Stochastics, Springer, vol. 27(1), pages 49-96, January.
- Vicky Henderson & Jonathan Muscat, 2020. "Partial liquidation under reference-dependent preferences," Finance and Stochastics, Springer, vol. 24(2), pages 335-357, April.
- Henderson, Vicky & Hobson, David & Tse, Alex S.L., 2018. "Probability weighting, stop-loss and the disposition effect," Journal of Economic Theory, Elsevier, vol. 178(C), pages 360-397.
- Jia Yue & Ming-Hui Wang & Nan-Jing Huang, 2022. "Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1427-1455, December.
- L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
- Vicky Henderson & David Hobson & Matthew Zeng, 2023. "Cautious stochastic choice, optimal stopping and deliberate randomization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(3), pages 887-922, April.
- David Hirshleife, 2015.
"Behavioral Finance,"
Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 133-159, December.
- Hirshleifer, David, 2014. "Behavioral Finance," MPRA Paper 59028, University Library of Munich, Germany.
- Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
- Brettschneider, Julia & Burro, Giovanni & Henderson, Vicky, 2021. "Wide framing disposition effect: An empirical study," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 330-347.
- Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2019.
"The consumption–investment decision of a prospect theory household: A two-period model with an endogenous second period reference level,"
Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 93-108.
- Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2018. "The consumption-investment decision of a prospect theory household: A two-period model with an endogenous second period reference level," Economics Series 344, Institute for Advanced Studies.
- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021.
"Household Finance,"
Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
- Haliassos, Michael & Gomes, Francisco, 2020. "Household Finance," CEPR Discussion Papers 14502, C.E.P.R. Discussion Papers.
- Gomes, Francisco J. & Haliassos, Michael & Ramadorai, Tarun, 2020. "Household finance," IMFS Working Paper Series 138, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Michael J. Best & Robert R. Grauer, 2017. "Humans, Econs and Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-30, June.
- Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning analysis of stock market anomalies under prospect stochastic dominance,"
Working Papers
unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
- Karolis Liaudinskas, 2019. "Human vs. Machine: Disposition Effect Among Algorithmic and Human Day-traders," Working Papers 1133, Barcelona School of Economics.
- Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Leibniz Institute for Financial Research SAFE.
- Paolo Guasoni & Gur Huberman & Dan Ren, 2020. "Shortfall aversion," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 869-920, July.
- Ebert, Sebastian & Hilpert, Christian, 2019. "Skewness preference and the popularity of technical analysis," Journal of Banking & Finance, Elsevier, vol. 109(C).
- Helen Bao & Chunming Meng, 2017. "Loss Aversion and Residential Property Development Decisions in China: A Semi-Parametric Estimation," ERES eres2017_156, European Real Estate Society (ERES).
- Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007, August.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2019-12-09 (Market Microstructure)
- NEP-ORE-2019-12-09 (Operations Research)
- NEP-UPT-2019-12-09 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1911.10106. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.