Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
We consider the dynamic casino gambling model initially proposed by Barberis (2012) and study the optimal stopping strategy of a pre-committing gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis (2012) can be strictly improved by reviewin...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
INFORMS
2016
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