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

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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Bibliografiske detaljer
Hovedforfatter:	Cao, B
Format:	Thesis
Udgivet:	Mathematical Institute;University of Oxford 2009

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