Until the Bitter End: On Prospect Theory in a Dynamic Context

被引：52

作者：

Ebert, Sebastian ^{[1
]}

Strack, Philipp ^{[2
]}

机构：

[1] Tilburg Univ, Dept Finance, NL-5000 LE Tilburg, Netherlands

[2] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA

来源：

AMERICAN ECONOMIC REVIEW | 2015年 / 105卷 / 04期

关键词：

EXPECTED UTILITY; RISK-AVERSION; SKEWNESS; DISPOSITION; PREFERENCE; MODEL;

D O I：

10.1257/aer.20130896

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a result on prospect theory decision makers who are naive 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 naivete leads to unrealistic predictions for a wide range of dynamic setups.

引用

页码：1618 / 1633

页数：16

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