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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| フォーマット: | 学位論文 |
| 出版事項: |
Mathematical Institute;University of Oxford
2009
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| _version_ | 1826312146987778048 |
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| author | Cao, B |
| author_facet | Cao, B |
| author_sort | Cao, B |
| collection | OXFORD |
| description | 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 show that for reasonable parameter values the disposition effect can be explained by expected utility theory. |
| first_indexed | 2024-03-07T08:24:42Z |
| format | Thesis |
| id | oxford-uuid:737c120e-c44e-4254-a1b7-d1a496984bab |
| institution | University of Oxford |
| last_indexed | 2024-03-07T08:24:42Z |
| publishDate | 2009 |
| publisher | Mathematical Institute;University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:737c120e-c44e-4254-a1b7-d1a496984bab2024-02-12T11:33:11ZDisposition Effect on Two Classical Expected Utility Models: Exponential and PowerThesishttp://purl.org/coar/resource_type/c_db06uuid:737c120e-c44e-4254-a1b7-d1a496984babMathematical Institute - ePrintsMathematical Institute;University of Oxford2009Cao, BA 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 show that for reasonable parameter values the disposition effect can be explained by expected utility theory. |
| spellingShingle | Cao, B Disposition Effect on Two Classical Expected Utility Models: Exponential and Power |
| title | Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power |
| title_full | Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power |
| title_fullStr | Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power |
| title_full_unstemmed | Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power |
| title_short | Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power |
| title_sort | disposition effect on two classical expected utility models exponential and power |
| work_keys_str_mv | AT caob dispositioneffectontwoclassicalexpectedutilitymodelsexponentialandpower |