Disposition Effect on Two Classical Expected Utility Models: Exponential and Power

A disposition effect is the observation that investors tend to sell winning stocks too early and hold losing stocks too long. In this paper, we investigate whether expected utility theory explains the disposition effect. We implement two models of expected utility theory: exponential and power. We s...

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Bibliographic Details
Main Author: Cao, B
Format: Thesis
Published: Mathematical Institute;University of Oxford 2009